Extremal attractors of Liouville copulas

DOI10.1016/j.jmva.2017.05.008zbMath1372.60071arXiv1704.03377OpenAlexW2609328783MaRDI QIDQ110549

Johanna G. Nešlehová, Léo R. Belzile, Léo R. Belzile, Johanna G. Nešlehová

Publication date: August 2017

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.03377

zbMATH Keywords

extremal functionstable tail dependence functionde Haan decompositionextremal attractorLiouville copulascaled extremal Dirichlet model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Extreme value theory; extremal stochastic processes (60G70)

Related Items (7)

Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs ⋮ A modeler's guide to extreme value software ⋮ Inference for Archimax copulas ⋮ Extreme-value copulas associated with the expected scaled maximum of independent random variables ⋮ Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution ⋮ Extremal dependence of random scale constructions ⋮ lcopula

Uses Software

• R
• QRM

Cites Work

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