On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation

DOI10.3150/20-BEJ1306zbMath1473.62160arXiv2006.07131OpenAlexW3194973845MaRDI QIDQ1983600

Wolfgang Trutschnig, Sebastian Fuchs, Thimo M. Kasper

Publication date: 10 September 2021

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.07131

zbMATH Keywords

weak convergenceestimationArchimedean copuladependence measurecheckerboard copulaextreme value copula

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

Related Items (11)

On a multivariate copula-based dependence measure and its estimation ⋮ Maximal asymmetry of bivariate copulas and consequences to measures of dependence ⋮ A concept of copula robustness and its applications in quantitative risk management ⋮ On convergence and mass distributions of multivariate Archimedean copulas and their interplay with the Williamson transform ⋮ A link between Kendall's \(\tau\), the length measure and the surface of bivariate copulas, and a consequence to copulas with self-similar support ⋮ A novel positive dependence property and its impact on a popular class of concordance measures ⋮ Quantifying directed dependence via dimension reduction ⋮ On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence ⋮ Stochastic monotonicity and the Markov product for copulas ⋮ On convergence of associative copulas and related results ⋮ Total positivity of copulas from a Markov kernel perspective

Uses Software

• copula
• copula
• qad
• XICOR

Cites Work

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