Characterization of multivariate heavy-tailed distribution families via copula (Q765839)

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English	Characterization of multivariate heavy-tailed distribution families via copula	scientific article

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Characterization of multivariate heavy-tailed distribution families via copula (English)

Journal of Multivariate Analysis

22 March 2012

multivariate regular variation

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tail dependence function

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multivariate subexponential distributions

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multivariate long-tailed distributions

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jmva.2011.12.001

Tails of multivariate Archimedean copulas

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Multivariate subexponential distributions

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Subexponentiality of the product of independent random variables

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Q5485944

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Limit theory for multivariate sample extremes

Asymptotic results for the sum of dependent non-identically distributed random variables

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Extremal behavior of Archimedean copulas

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Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions

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Asymptotic independence and a network traffic model

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Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions

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An introduction to copulas.

Identifiers

zbMATH Open document ID

1236.62048

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Mathematics Subject Classification ID

10.1016/J.JMVA.2011.12.001

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Sitelinks

Mathematics(1 entry)

mardi Publication:765839