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arxiv: 1502.06046 · v1 · pith:TOKWPIWGnew · submitted 2015-02-21 · 🧮 math.ST · stat.TH

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

classification 🧮 math.ST stat.TH
keywords thetaratenormalskewbivariatecaseconditionconvergence
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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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