Tail asymptotics for the bivariate skew normal

Thomas Fung and Eugene Seneta

Journal of Multivariate Analysis, 2016, vol. 144, issue C, 129-138

Abstract: We derive the asymptotic rate of decay to zero of the tail dependence of the bivariate skew normal distribution under the equal-skewness condition α1=α2,=α, say. The rate depends on whether α>0 or α<0. For the lower tail, the latter case has rate asymptotically identical with the bivariate normal (α=0), but has a different multiplicative constant. The case α>0 gives a rate dependent on α. The detailed asymptotic behaviour of the quantile function for the univariate skew normal is a key. This study is partly a sequel to our earlier one on the analogous situation for bivariate skew t.

Keywords: Asymptotic tail dependence coefficient; Bivariate skew normal distribution; Convergence rate; Intermediate tail dependence; Quantile function; Residual tail dependence (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X15002705
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:144:y:2016:i:c:p:129-138

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2015.11.002

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().