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Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution

✍ Scribed by Martin Schlather

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
102 KB
Volume
53
Category
Article
ISSN
0167-7152

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✦ Synopsis

The tail behaviour of many bivariate distributions with unit Frà echet margins can be characterised by the coe cient of tail dependence and a slowly varying function. We show that such a characterisation is not always possible, and neither implies nor is implied by the fact that the distribution belongs to the domain of attraction of a bivariate extreme value distribution.

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