69 citations · 210 across the 12 of their papers we have counts for
7 papers · 1 filter
Tail asymptotics for the bivariate skew normal in the general case
Thomas Fung, Eugene Seneta
The present paper is a sequel to and generalization of Fung and Seneta (2016) whose main result gives the asymptotic behaviour as of $λ_L(u) = P(X_1 \leq F_1^{-1}(u)…
Tail asymptotics for the bivariate equi-skew Variance-Gamma distribution
Thomas Fung, Eugene Seneta
We derive the asymptotic rate of decay to zero of the tail dependence of the bivariate skew Variance Gamma (VG) distribution under the equal-skewness condition, as an explicit regu…
Quantile function expansion using regularly varying functions
Thomas Fung, Eugene Seneta
We present a simple result that allows us to evaluate the asymptotic order of the remainder of a partial asymptotic expansion of the quantile function as or …
Tail dependence convergence rate for the bivariate skew normal under the equal-skewness condition
Thomas Fung, Eugene Seneta
We derive the rate of decay of the tail dependence of the bivariate skew normal distribution under the equal-skewness condition θ1 = θ2,= θ, say. The rate of convergence depends on…
Explicit Form of Coefficients in any MA(2) Process
Simon Ku, Eugene Seneta
We shall show that for {\it any} process (apart from those with coefficients lying on certain line-segments) there is {\it one and only one invertible} p…
Convergence rate to a lower tail dependence coefficient of a skew-t distribution
Thomas Fung, Eugene Seneta
We examine the rate of decay to the limit of the tail dependence coefficient of a bivariate skew t distribution which always displays asymptotic tail dependence. It contains as a s…