On the structure of exchangeable extreme-value copulas

DOI10.1016/J.JMVA.2020.104670zbMATH Open1453.60042arXiv1909.09438OpenAlexW2974089631MaRDI QIDQ2201562FDOQ2201562

Jan-Frederik Mai, Matthias Scherer

Publication date: 29 September 2020

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

Abstract: We show that the set of $d$-variate symmetric stable tail dependence functions, uniquely associated with exchangeable $d$-dimensional extreme-value copulas, is a simplex and determine its extremal boundary. The subset of elements which arises as $d$-margins of the set of $(d+k)$-variate symmetric stable tail dependence functions is shown to be proper for arbitrary $kgeq1$. Finally, we derive an intuitive and useful necessary condition for a bivariate extreme-value copula to arise as bi-margin of an exchangeable extreme-value copula of arbitrarily large dimension, and thus to be conditionally iid.

Full work available at URL: https://arxiv.org/abs/1909.09438

Recommendations

• On the copula for multivariate extreme value distributions
• Extreme value properties of multivariate \(t\) copulas
• Exchangeable copulas
• Extreme-value copulas associated with the expected scaled maximum of independent random variables
• \(L^{\infty }\)-measure of non-exchangeability for bivariate extreme value and Archimax copulas

zbMATH Keywords

extreme-value copulaexchangeabilitystable tail dependence functionextendibilityconditionally iid

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)

Cites Work

• Dependence Modeling with Copulas
• Title not available (Why is that?)
• Homogeneous distributions -- and a spectral representation of classical mean values and stable tail dependence functions
• Title not available (Why is that?)
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• A spectral representation for max-stable processes
• Title not available (Why is that?)
• Convex geometry of max-stable distributions
• Exact simulation of max-stable processes
• Title not available (Why is that?)
• A concept of positive dependence for exchangeable random variables
• Approximate independence of distributions on spheres and their stability properties
• Extendibility of Marshall-Olkin distributions and inverse Pascal triangles
• Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws
• Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time
• Mass distributions of two-dimensional extreme-value copulas and related results
• Bivariate extreme-value copulas with discrete Pickands dependence measure
• Multivariate Extreme Value Theory and D-Norms
• Canonical spectral representation for exchangeable max-stable sequences
• On the extendibility of finitely exchangeable probability measures
• On a class of exchangeable sequences
• On estimating extremal dependence structures by parametric spectral measures
• Title not available (Why is that?)

Cited In (6)

• New asymmetric perturbations of FGM bivariate copulas and concordance preserving problems
• New characterizations of multivariate max-domain of attraction and \(D\)-norms
• Title not available (Why is that?)
• On the copula for multivariate extreme value distributions
• Title not available (Why is that?)
• About the exact simulation of bivariate (reciprocal) Archimax copulas

Uses Software

• CopulaModel

This page was built for publication: On the structure of exchangeable extreme-value copulas

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2201562)