Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution

Martin Schlather

Statistics & Probability Letters, 2001, vol. 53, issue 3, 325-329

Abstract: The tail behaviour of many bivariate distributions with unit Fréchet margins can be characterised by the coefficient of tail dependence and a slowly varying function. We show that such a characterisation is not always possible, and neither implies nor is implied by the fact that the distribution belongs to the domain of attraction of a bivariate extreme value distribution.

Keywords: Domain; of; attraction; Bivariate; extreme; value; distribution; Coefficient; of; tail; dependence; Unit; Fréchet; margin (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (9)

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