B0881
Title: On a measure of tail asymmetry for the bivariate skew-normal copula
Authors: Toshinao Yoshiba - Tokyo Metropolitan University (Japan) [presenting]
Takaaki Koike - Hitotsubashi University (Japan)
Shogo Kato - Institute of Statistical Mathematics (Japan)
Abstract: Asymmetry in the upper and lower tails is an important feature in modeling bivariate distributions. The focus is on the log ratio between the tail probabilities at the upper and lower corners as a measure of tail asymmetry. The asymptotic behavior of this measure at extremely large and small thresholds is explored with particular emphasis on the skew-normal copula. The numerical studies reveal that, when the correlation or skewness parameters are around the boundary values, some asymptotic tail approximations of the skew-normal copulas proposed in the literature are not suitable to compute the measure of tail asymmetry with practically extremal thresholds.
