Stable tail dependence functions – some basic properties

Ressel Paul ()
Additional contact information
Ressel Paul: MGF, Kath. Universität Eichstätt-Ingolstadt, Ostenstr. 26, Eichstätt 85071, Germany

Dependence Modeling, 2022, vol. 10, issue 1, 225-235

Abstract: We prove some important properties of the extremal coefficients of a stable tail dependence function (“STDF”) and characterise logistic and some related STDFs. The well known sufficient conditions for composebility of logistic STDFs are shown to be also necessary.

Keywords: multivariate extreme value distribution; stable tail dependence function; extremal coefficient; logistic; negative logistic; nested logistic; fully d-alternating; Archimedean property (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/demo-2022-0114 (text/html)

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:vrs:demode:v:10:y:2022:i:1:p:225-235:n:15

DOI: 10.1515/demo-2022-0114

Access Statistics for this article

Dependence Modeling is currently edited by Giovanni Puccetti

More articles in Dependence Modeling from De Gruyter
Bibliographic data for series maintained by Peter Golla ().