Generalized Pareto copulas: A key to multivariate extremes
نویسندگان
چکیده
منابع مشابه
Multivariate extremes of generalized skew-normal distributions
We explore extremal properties of a family of skewed distributions extended from the multivariate normal distribution by introducing a skewing function π . We give sufficient conditions on the skewing function for the pairwise asymptotic independence to hold. We apply our results to a special case of the bivariate skew-normal distribution and finally support our conclusions by a simulation stud...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2019
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2019.104538