Measuring and testing tail equivalence

We call two copulas tail equivalent if their first-order approximations in the tail coincide. As a special case, a copula is called tail symmetric if it is tail equivalent to the associated survival copula. We propose a novel measure and statistical test for tail equivalence. The proposed measure ta...

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Hauptverfasser:	Koike, Takaaki, Kato, Shogo, Yoshiba, Toshinao
Format:	Artikel
Sprache:	eng
Schlagworte:	Statistics - Methodology
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