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Tail dependence coefficient of generalized hyperbolic distribution

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2017 France English Publisher:Springer Science and Business Media LLCJournal:Journal of Statistical Theory and Applications, volume 16, page 375 (eissn: 1538-7887, Copyright policy )
Authors: Aleiyouka, Mohalilou; Berred, Alexandre; Ahsanullah, Mohammad;

doi: 10.2991/jsta.2017.16.3.9

Tail dependence coefficient of generalized hyperbolic distribution

Abstract

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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France
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Keywords

Tail dependence; hyperbolic generalized; extreme value., [MATH] Mathematics [math], [MATH]Mathematics [math], Probabilities. Mathematical statistics, QA273-280

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
1
Average
Average
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