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Convergence rate to a lower tail dependence coefficient of a skew-t distribution

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  • Fung, Thomas
  • Seneta, Eugene

Abstract

We examine the rate of decay to the limit of the tail dependence coefficient of a bivariate skew-t distribution. This distribution always displays asymptotic tail dependence. It contains as a special case the usual bivariate symmetric t distribution, and hence is an appropriate (skew) extension. The rate is asymptotically a power-law. The second-order structure of the univariate quantile function for such a skew-t distribution is a central issue. Our results generalise those for the bivariate symmetric t.

Suggested Citation

  • Fung, Thomas & Seneta, Eugene, 2014. "Convergence rate to a lower tail dependence coefficient of a skew-t distribution," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 62-72.
    • Handle: RePEc:eee:jmvana:v:128:y:2014:i:c:p:62-72
    DOI: 10.1016/j.jmva.2014.03.004
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    References listed on IDEAS

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    Cited by:

    1. Fung, Thomas & Seneta, Eugene, 2021. "Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its Variance-Gamma special case," Statistics & Probability Letters, Elsevier, vol. 178(C).
    2. Xin Lao & Zuoxiang Peng & Saralees Nadarajah, 2023. "Tail Dependence Functions of Two Classes of Bivariate Skew Distributions," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-24, March.
    3. Beranger, B. & Padoan, S.A. & Xu, Y. & Sisson, S.A., 2019. "Extremal properties of the multivariate extended skew-normal distribution, Part B," Statistics & Probability Letters, Elsevier, vol. 147(C), pages 105-114.
    4. Peng, Zuoxiang & Li, Chunqiao & Nadarajah, Saralees, 2016. "Extremal properties of the skew-t distribution," Statistics & Probability Letters, Elsevier, vol. 112(C), pages 10-19.
    5. Hu, Shuang & Peng, Zuoxiang & Nadarajah, Saralees, 2022. "Tail dependence functions of the bivariate Hüsler–Reiss model," Statistics & Probability Letters, Elsevier, vol. 180(C).
    6. Fung, Thomas & Seneta, Eugene, 2016. "Tail asymptotics for the bivariate skew normal," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 129-138.

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