Extreme-value copulas associated with the expected scaled maximum of independent random variables

DOI10.1016/J.JMVA.2018.02.005zbMATH Open1398.62130arXiv1802.10330OpenAlexW2787980158MaRDI QIDQ1749979FDOQ1749979

Authors: Jan-Frederik Mai 

Publication date: 17 May 2018

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

Abstract: It is well-known that the expected scaled maximum of non-negative random variables with unit mean defines a stable tail dependence function associated with some extreme-value copula. In the special case when these random variables are independent and identically distributed, min-stable multivariate exponential random vectors with the associated survival extreme-value copulas are shown to arise as finite-dimensional margins of an infinite exchangeable sequence in the sense of De Finetti's Theorem. The associated latent factor is a stochastic process which is strongly infinitely divisible with respect to time, which induces a bijection from the set of distribution functions F of non-negative random variables with finite mean to the set of L'evy measures on the positive half-axis. Since the Gumbel and the Galambos copula are the most popular examples of this construction, the investigation of this bijection contributes to a further understanding of their well-known analytical similarities. Furthermore, a simulation algorithm based on the latent factor representation is developed, if the support of F is bounded. Especially in large dimensions, this algorithm is efficient because it makes use of the De Finetti structure.

Full work available at URL: https://arxiv.org/abs/1802.10330

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zbMATH Keywords

extreme-value copulasimulationstable tail dependence functionde Finetti's theoremLévy measure

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Random number generation in numerical analysis (65C10) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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