Posts Tagged ‘ Tawn ’

Copulas and tail dependence, part 2

September 18, 2012
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Copulas and tail dependence, part 2

An alternative to describe tail dependence can be found in the Ledford & Tawn (1996) for instance. The intuition behind can be found in Fischer & Klein (2007)). Assume that and have the same distribution. Now, if we assume that those vari...

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