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Tail dependence coefficients of multivariate elliptical distributions
- Source :
- 2011 International Conference on Multimedia Technology.
- Publication Year :
- 2011
- Publisher :
- IEEE, 2011.
-
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.
Details
- Database :
- OpenAIRE
- Journal :
- 2011 International Conference on Multimedia Technology
- Accession number :
- edsair.doi...........e59a238674e959c313cdc98ad771d09d