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TAIL CONDITIONAL EXPECTATIONS FOR GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS
Published online by Cambridge University Press: 05 January 2021
Abstract
This paper deals with the multivariate tail conditional expectation (MTCE) for generalized skew-elliptical distributions. We present tail conditional expectation for univariate generalized skew-elliptical distributions and MTCE for generalized skew-elliptical distributions. There are many special cases for generalized skew-elliptical distributions, such as generalized skew-normal, generalized skew Student-t, generalized skew-logistic and generalized skew-Laplace distributions.
Keywords
- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 36 , Issue 2 , April 2022 , pp. 500 - 513
- Copyright
- Copyright © The Author(s), 2020. Published by Cambridge University Press
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