DocumentCode
3037281
Title
Tail dependence coefficients of multivariate elliptical distributions
Author
Song, Lixin ; Lu, Dawei ; Wang, Xiuli ; Song, Zexi
Author_Institution
Sch. of Math. Sci., Dalian Univ. of Technol., Dalian, China
fYear
2011
fDate
26-28 July 2011
Firstpage
2640
Lastpage
2643
Abstract
In this article, the tail dependence coefficient of the multivariate elliptical distribution and its properties are obtained. Furthermore, some specific tail dependence coefficients (TDC) and regularly varying elliptical distribution are given. From these results, it is easy to see that the TDC is only determined by its tail index and the correlation coefficient of the multivariate elliptical distribution. Finally, for comparing with the results in [4], some simulations are presented.
Keywords
statistical distributions; correlation coefficient; multivariate elliptical distributions; regularly varying elliptical distribution; tail dependence coefficients; Correlation; Distribution functions; Educational institutions; Indexes; Joints; Mathematical model; Random variables; Elliptical distribution; Regularly varying; Tail dependence coefficient;
fLanguage
English
Publisher
ieee
Conference_Titel
Multimedia Technology (ICMT), 2011 International Conference on
Conference_Location
Hangzhou
Print_ISBN
978-1-61284-771-9
Type
conf
DOI
10.1109/ICMT.2011.6002426
Filename
6002426
Link To Document