Tail dependence coefficient of generalized hyperbolic distribution
The tail dependence describes the limiting proportion of exceeding one margin over a certain threshold given that the other margin has already exceeded that threshold. In this paper, we obtain the limit tail dependence coefficient for the generalized hyperbolic distribution.
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| Hauptverfasser: | , , |
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| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
Springer
2017-08-01
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| Schriftenreihe: | Journal of Statistical Theory and Applications (JSTA) |
| Schlagworte: | |
| Online-Zugang: | https://www.atlantis-press.com/article/25883870.pdf |
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