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math.ST2022
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)…
math.ST2020
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…
math.ST2015
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…