2 papers
stat.ME2024
Measuring and testing tail equivalence
Takaaki Koike, Shogo Kato, Toshinao Yoshiba
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 a…
stat.ME2020
Copula-based measures of asymmetry between the lower and upper tail probabilities
Shogo Kato, Toshinao Yoshiba, Shinto Eguchi
We propose a copula-based measure of asymmetry between the lower and upper tail probabilities of bivariate distributions. The proposed measure has a simple form and possesses some…