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

Statistics and Probability Letters

Volumn 53, Issue 3, 2001, Pages 325-329

  Schlather, Martin ^a  

^a UNIVERSITY OF BAYREUTH   (Germany)

Author keywords

Bivariate extreme value distribution; Coefficient of tail dependence; Domain of attraction; Unit Fr chet margin

Indexed keywords

EID: 0041401371     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(01)00090-6     Document Type: Article

References (9)

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4. Currie, J.E., 1999. Directory of Coefficients of Tail Dependence. Technical Report ST-99-06, Department of Mathematics and Statistics, Lancaster University.
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8. Ledford, A.W., Tawn, J.A., 2001. Diagnostics for dependence within time series extremes. submitted.
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