Tail dependence of skew t-copulas |
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Authors: | Tõnu Kollo Gaida Pettere Marju Valge |
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Institution: | 1. Institute of Mathematics and Statistics, University of Tartu, Tartu, Estonia;2. Department of Engeneering Mathematics, Riga Technical University, Riga, Latvia |
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Abstract: | We examine tail behavior of skew t-copula in the bivariate case. The tail dependence coefficient is calculated for different skewing parameter values and compared with the corresponding coefficient for the t-copula. It is shown that depending on skewing parameter values, the tail dependence coefficient can differ considerably from the tail dependence of the t-copula. The speed of convergence of the estimator of tail dependence coefficient to its theoretical value is examined in a simulation experiment. Method of moments and maximum likelihood method are compared by simulation either. In the considered cases, maximum likelihood method converged faster to the theoretical value. |
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Keywords: | Simulation Skew normal copula Skew normal distribution Skew t-copula Skew t-distribution Tail dependence |
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