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Toward a Hazard Rate Framework for Regular and Rapid Variation
Haijun Li
Regular and rapid variation have been extensively studied in the literature and applied across various fields, particularly in extreme value theory. In this paper, we examine regul…
Tail Dependence of Multivariate Archimedean Copulas
Haijun Li
Archimedean copulas generated by Laplace transforms have been extensively studied in the literature, with much of the focus on tail dependence limited only to cases where the Lapla…
Operator Regular Variation of Multivariate Liouville Distributions
Haijun Li
Operator regular variation reveals general power-law distribution tail decay phenomena using operator scaling, that includes multivariate regular variation with scalar scaling as a…
Tail Densities of Skew-Elliptical Distributions
Harry Joe, Haijun Li
Skew-elliptical distributions constitute a large class of multivariate distributions that account for both skewness and a variety of tail properties. This class has simpler represe…
Operator Tail Dependence of Copulas
Haijun Li
A notion of tail dependence based on operator regular variation is introduced for copulas, and the standard tail dependence used in the copula literature is included as a special c…