A geometric investigation into the tail dependence of vine copulas

DOI10.1016/j.jmva.2021.104736zbMath1467.62079arXiv2012.09623MaRDI QIDQ2034451

Jennifer L. Wadsworth, Jonathan A. Tawn, Emma S. Simpson

Publication date: 22 June 2021

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

Full work available at URL: https://arxiv.org/abs/2012.09623

zbMATH Keywords

multivariate extremes; coefficient of tail dependence; gauge function; vine copula

Mathematics Subject Classification ID

62H05: Characterization and structure theory for multivariate probability distributions; copulas

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

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