Dynamic bivariate normal copula

DOI10.1007/S11425-015-5114-1MaRDI QIDQ295132zbMATH OpenOpenAlexFDO

Authors Xin Liao, Liang Peng, YanTing Zheng, Zuoxiang 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

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

Abstract: Normal copula with a correlation coefficient between $-1$ and $1$ is tail independent and so it severely underestimates extreme probabilities. By letting the correlation coefficient in a normal copula depend on the sample size, H"usler and Reiss (1989) showed that the tail can become asymptotically dependent. In this paper, we extend this result by deriving the limit of the normalized maximum of $n$ independent observations, where the $i$-th observation follows from a normal copula with its correlation coefficient being either a parametric or a nonparametric function of $i/n$. Furthermore, both parametric and nonparametric inference for this unknown function are studied, which can be employed to test the condition in H"usler and Reiss (1989). A simulation study and real data analysis are presented too.

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Cited in

(12)

• Second-order asymptotics on distributions of maxima of bivariate elliptical arrays
• Second-order expansions for maxima of dynamic bivariate normal copulas
• Asymptotic behavior of bivariate Gaussian powered extremes
• On tail dependence for three-parameter Grubbs' copula
• Tail dependence functions of the bivariate Hüsler-Reiss model
• Maxima and minima of independent and non-identically distributed bivariate Gaussian triangular arrays
• On tail dependence for Grubbs' copula-function
• Asymptotic tail dependence of the normal copula
• Rates of convergence of powered order statistics from general error distribution
• Tail dependence functions of two classes of bivariate skew distributions
• The bivariate normal copula function is regularly varying
• A limit formula and a series expansion for the bivariate normal tail probability

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• QRM

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