Stable tail dependence functions – some basic properties

Abstract

We prove some important properties of the extremal coefficients of a stable tail dependence function (“STDF”) and characterise logistic and some related STDFs. The well known sufficient conditions for composebility of logistic STDFs are shown to be also necessary.

Keywords

• multivariate extreme value distribution
• stable tail dependence function, extremal coefficient
• logistic
• negative logistic
• nested logistic
• fully d-alternating
• archimedean property
• 60e05
• 62h05
• 26b40