Abstract.
The relationship between the theory of elliptically contoured distributions and the concept of tail dependence is investigated. We show that bivariate elliptical distributions possess the so-called tail dependence property if the tail of their generating random variable is regularly varying, and we give a necessary condition for tail dependence which is somewhat weaker than regular variation of the latter tail. In addition, we discuss the tail dependence property for some well-known examples of elliptical distributions, such as the multivariate normal, t, logistic, and Bessel distributions.
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Schmidt, R. Tail dependence for elliptically contoured distributions. Mathematical Methods of OR 55, 301–327 (2002). https://doi.org/10.1007/s001860200191
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DOI: https://doi.org/10.1007/s001860200191