|
个人信息Personal Information
副教授
博士生导师
硕士生导师
性别：男
毕业院校：吉林大学
学位：博士
所在单位：数学科学学院
学科：概率论与数理统计. 金融数学与保险精算
办公地点：数学科学学院5楼
电子邮箱：wangxg@dlut.edu.cn
扫描关注
Tail dependence coefficients of multivariate elliptical distributions
点击次数：
论文类型：会议论文
发表时间：2011-07-26
收录刊物：EI、Scopus
页面范围：2640-2643
摘要：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.