Tail Dependence of Multivariate Pareto Distributions

  title={Tail Dependence of Multivariate Pareto Distributions},
  author={Haijun Li},
Various multivariate Pareto distributions are known to exhibit the heavy tail behaviors. This paper examines the tail dependence properties of a general class of multivariate Pareto distributions with the Pareto index and some common scale parameters. The multivariate tail dependence describes the amount of dependence in the upper-orthant tail or lower-orthant tail of a multivariate distribution and can be used in the study of dependence among extreme values. We derive the explicit expressions… CONTINUE READING

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