The bivariate normal copula function is regularly varying

Thomas Fung and Eugene Seneta

Statistics & Probability Letters, 2011, vol. 81, issue 11, 1670-1676

Abstract: We derive the rate of decay of the tail dependence of the bivariate normal distribution and establish its link with regularly varying functions. This result is an initial step in explaining the discrepancy between a zero asymptotic tail dependence coefficient and mass in the tail of a joint distribution.

Keywords: Bivariate; normal; distribution; Inverse; functions; Regularly; varying; functions; Asymptotic; tail; dependence (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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