Regular variation, conditions of domain of attraction and the existence of the tail dependence function in the general dependence case: a copula approach

DOI10.1007/S42519-020-00128-1MaRDI QIDQ2223151zbMATH OpenOpenAlexFDO

Authors Yuri Salazar Flores, Adán Díaz-Hernández

Publication date 28 January 2021

Published in Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s42519-020-00128-1

zbMATH Keywords

regular variationmaximum domain of attractiongeneral tail dependence

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• An introduction to copulas.
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• Non-parametric Estimation of Tail Dependence
• Nonparametric estimation of general multivariate tail dependence and applications to financial time series
• Regular variation and probability: The early years
• Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
• Toward a copula theory for multivariate regular variation

Cited in

(3)

• Toward a copula theory for multivariate regular variation
• Characterization of multivariate heavy-tailed distribution families via copula
• On the regular variation of ratios of jointly Fréchet random variables

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Uses Software

• QRM

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