Dynamic bivariate normal copula

DOI10.1007/s11425-015-5114-1zbMath1341.62158arXiv1505.03762OpenAlexW3098396366MaRDI QIDQ295132

YanTing Zheng, Xin Liao, Liang Peng, Zuo Xiang Peng

Publication date: 17 June 2016

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.03762

zbMATH Keywords

estimationnormal copulatail dependence/independence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Measures of association (correlation, canonical correlation, etc.) (62H20) Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items

Rates of convergence of powered order statistics from general error distribution ⋮ Maxima and minima of independent and non-identically distributed bivariate Gaussian triangular arrays ⋮ Second-order asymptotics on distributions of maxima of bivariate elliptical arrays ⋮ Second-order expansions for maxima of dynamic bivariate normal copulas ⋮ Tail dependence functions of two classes of bivariate skew distributions ⋮ Tail dependence functions of the bivariate Hüsler-Reiss model ⋮ Asymptotic behavior of bivariate Gaussian powered extremes

Uses Software

• QRM

Cites Work

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