Local max-sum equivalence of random variables with Bernstein copula

MaRDI QIDQ6996677zbMATH OpenFDO

Authors Ruixing Ming, Zhenhan Lou, Sheng Cui, Chan Gong

Publication date 15 April 2025

Published in Acta Mathematica Scientia. Series A. (Chinese Edition) (Search for Journal in Brave)

Full work available at URL http://121.43.60.238/sxwlxbA/EN/abstract/abstract17402.shtml

zbMATH Keywords

Bernstein copulalocal max-sum equivalencelocal subexponentialityprinciple of a single big jump

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites work

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• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• The local max-sum equivalence of real valued random walks with heavy-tailed increments following FGM copula
• Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities

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