The Asymptotic Dependence of Elliptic Random Variables
Abstract
In this paper, we try to answer the question, whether for bivariate elliptic random variable X=(X1,X2) the marginal random variables X1 and X2 are asymptotically dependent. We show, that for some special form of the characteristic generator of X the answer is positive.
- Publication:
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Acta Physica Polonica B
- Pub Date:
- November 2006
- DOI:
- 10.48550/arXiv.physics/0608203
- arXiv:
- arXiv:physics/0608203
- Bibcode:
- 2006AcPPB..37.2997J
- Keywords:
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- Physics - Physics and Society
- E-Print:
- To be published in Acta Phys. Pol. B