On the structure of exchangeable extreme-value copulas

DOI10.1016/J.JMVA.2020.104670MaRDI QIDQ2201562zbMATH OpenOpenAlexFDO

Authors Jan-Frederik Mai, Matthias Scherer

Publication date 29 September 2020

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

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

zbMATH Keywords

conditionally iidexchangeabilityextendibilityextreme-value copulastable tail dependence function

Mathematics Subject Classification ID

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

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.

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Cited in

(8)

• About the exact simulation of bivariate (reciprocal) Archimax copulas
• Exchangeable copulas
• scientific article; zbMATH DE number 5926757 (Why is no real title available?)
• On the copula for multivariate extreme value distributions
• scientific article; zbMATH DE number 6448037 (Why is no real title available?)
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• New asymmetric perturbations of FGM bivariate copulas and concordance preserving problems
• New characterizations of multivariate max-domain of attraction and \(D\)-norms

Describes a project that uses

Uses Software

• CopulaModel

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