Tail dependence of the Gaussian copula revisited
Year of publication: |
July 2016
|
---|---|
Authors: | Furman, Edward ; Kuznetsov, Alexey ; Su, Jianxi ; Zitikis, Ričardas |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 69.2016, p. 97-103
|
Subject: | Diagonal | Gaussian copula | Maximal tail dependence | Tail independence | Index of tail dependence | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers |
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