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
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;
Conference_Titel :
Multimedia Technology (ICMT), 2011 International Conference on
Conference_Location :
Hangzhou
Print_ISBN :
978-1-61284-771-9
DOI :
10.1109/ICMT.2011.6002426
