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Stable tail dependence functions – some basic properties

Author

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  • Ressel Paul

    (MGF, Kath. Universität Eichstätt-Ingolstadt, Ostenstr. 26, Eichstätt 85071, Germany)

Abstract

We prove some important properties of the extremal coefficients of a stable tail dependence function (“STDF”) and characterise logistic and some related STDFs. The well known sufficient conditions for composebility of logistic STDFs are shown to be also necessary.

Suggested Citation

  • Ressel Paul, 2022. "Stable tail dependence functions – some basic properties," Dependence Modeling, De Gruyter, vol. 10(1), pages 225-235, January.
    • Handle: RePEc:vrs:demode:v:10:y:2022:i:1:p:225-235:n:15
    DOI: 10.1515/demo-2022-0114
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    References listed on IDEAS

    as
    1. Genest, Christian & Rivest, Louis-Paul, 1989. "A characterization of gumbel's family of extreme value distributions," Statistics & Probability Letters, Elsevier, vol. 8(3), pages 207-211, August.
    2. Ressel, Paul, 2012. "Functions operating on multivariate distribution and survival functions—With applications to classical mean-values and to copulas," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 55-67.
    3. Ressel, Paul, 2013. "Homogeneous distributions—And a spectral representation of classical mean values and stable tail dependence functions," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 246-256.
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