Extremal behavior of Archimedean copulas (Q2996576)

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Extremal behavior of Archimedean copulas
scientific article

    Statements

    title
    Extremal behavior of Archimedean copulas (English)
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    author
    Martin Larsson
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    Johanna G. Nešlehová
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    publication date
    3 May 2011
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    zbMATH Keywords
    domain of attraction
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    extreme value copula
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    \(\ell_1\)-norm symmetric distribution
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    regular variation
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    simplex distribution
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    tail dependence
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    threshold copula
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    Williamson transform
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    cites work
    Q3992980
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    Q5525727
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    Q5485944
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    Q4343010
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    Q5706744
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    Q3771297
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    Heavy-Tail Phenomena
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    Q3336431
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    Identifiers

    Mathematics Subject Classification ID
    62G32
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    62H05
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    60F05
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    60G70
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    62E20
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    zbMATH DE Number
    5883120
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    OpenAlex ID
    W2072212640
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