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Tail dependence coefficients of multivariate elliptical distributions

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Indexed by:会议论文

Date of Publication:2011-07-26

Included Journals:EI、Scopus

Page Number:2640-2643

Abstract:In this article, the tail dependence coefficient of the multivariate elliptical distribution and its properties are obtained. Furthermore, some specific tail dependence coefficients (TDC) and regularly varying elliptical distribution are given. From these results, it is easy to see that the TDC is only determined by its tail index and the correlation coefficient of the multivariate elliptical distribution. Finally, for comparing with the results in [4], some simulations are presented. ? 2011 IEEE.

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