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Tail dependence convergence rate for the bivariate skew normal under the equal-skewness condition

21 February 2015
Thomas Fung
E. Seneta
ArXiv (abs)PDFHTML
Abstract

We derive the rate of decay of the tail dependence of the bivariate skew normal distribution under the equal-skewness condition {\theta}1 = {\theta}2,= {\theta}, say. The rate of convergence depends on whether {\theta} > 0 or {\theta} < 0. The latter case gives rate asymp- totically identical with the case {\theta} = 0. The asymptotic behaviour of the quantile function for the univariate skew normal is part of the theoretical development.

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