Dynamic bivariate normal copula

DOI10.1007/S11425-015-5114-1MaRDI QIDQ295132zbMATHOpenAlexFDO

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

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

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)

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

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