二元Cauchy分布尾部的相关性

TAIL DEPENDENCE IN BIVARIATE CAUCHY DISTRIBUTION

为了更细致地描述二元随机变量极值的相关性质 ,Ledford和 Tawn( 1 996,1 997)引进了尾部相关系数的概念 .考虑二元 Cauchy分布的尾部相关性 ,本文指出即使在参数 ρ=0时 ,边缘分布仍然不是精确独立的 ,但对任 - 1 <ρ<1 。

A coefficient of tail dependence proposed by Ledford and Tawn (1996,1997) characterizes the dependence of extremes of the marginal variables,and includes existing models as special cases.The coefficient of tail dependence in bivariate Cauchy distribution is considered in this paper.We point out that the marginal variables are not exact independence even for case of parameter ρ=0,but they are asymptotically dependent for any -1<ρ<1.