The tail dependence coefficient measures extremal dependence between two random variables. In this note, we investigate the tail dependence of a bivariate skew normal triangular array with equal skewness and varying correlation coefficients {𝜌_{𝑛},𝑛≥1} satisfying the Hüsler-Reiss condition via a redefined sequential tail dependence coefficient. For more detailed insights, the convergence rate to the sequential tail dependence coefficients is also established under a refined Hüsler-Reiss condition. Numerical experiments are conducted to illustrate the theoretical results.

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To cite this article: Shuang Hu, Zuoxiang Peng & Qian Xiong (03 Oct 2025): Tail dependence of bivariate skew normal triangular array with varying correlation coefficients, Statistical Theory and Related Fields, DOI: 10.1080/24754269.2025.2555132

To link to this article: https://doi.org/10.1080/24754269.2025.2555132