Extremal behavior of Archimedean copulas
From MaRDI portal
Publication:2996576
tail dependenceregular variationWilliamson transformdomain of attractionextreme value copulasimplex distribution\(\ell_1\)-norm symmetric distributionthreshold copula
Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Central limit and other weak theorems (60F05)
Recommendations
- Dependence and order in families of Archimedean copulas
- Spatial tail dependence and survival stability in a class of Archimedean copulas
- Dependence structure of conditional Archimedean copulas
- Lower tail dependence for Archimedean copulas: characterizations and pitfalls
- Tails of multivariate Archimedean copulas
Cites work
- scientific article; zbMATH DE number 3870293 (Why is no real title available?)
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 43570 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 3238248 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A characterization of Gumbel's family of extreme value distributions
- A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
- An introduction to copulas.
- Archimedean copulas, exchangeability, and max-stability
- Bivariate distributions with given extreme value attractor
- Copula convergence theorems for tail events.
- Dependence measures for extreme value analyses
- Extreme value theory. An introduction.
- Families of Multivariate Distributions
- From Archimedean to Liouville copulas
- Heavy-Tail Phenomena
- Lower tail dependence for Archimedean copulas: characterizations and pitfalls
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Multivariate dependence measures and data analysis
- Multivariate extremes, aggregation and dependence in elliptical distributions
- Multivariate survival distributions
- Nonparametric estimation of the dependence function for a multivariate extreme value distribution
- On Pickands coordinates in arbitrary dimensions
- On the Tail Behavior of Sums of Dependent Risks
- Subexponentiality of the product of independent random variables
- Tail dependence from a distributional point of view
- Tails of multivariate Archimedean copulas
- Understanding Relationships Using Copulas
Cited in
(43)- How exceptional is the extremal Kendall and Kendall-type convolution
- Dependence structure of conditional Archimedean copulas
- Multivariate Archimax copulas
- Testing for a \(\delta \)-neighborhood of a generalized Pareto copula
- On the class of truncation invariant bivariate copulas under constraints
- Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
- Multivariate risk models under heavy-tailed risks
- Partial and average copulas and association measures
- Copulas, diagonals, and tail dependence
- Right-truncated Archimedean and related copulas
- Characterization of multivariate heavy-tailed distribution families via copula
- Ordering extremes of scale random variables under Archimedean copula
- From Archimedean to Liouville copulas
- Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
- Inequalities for Gaussian random variables under Archimedean copula dependence
- The class of multivariate max-id copulas with \(\ell_{1}\)-norm symmetric exponent measure
- Extremes and regular variation
- A test for Archimedeanity in bivariate copula models
- Conditional tail independence in Archimedean copula models
- Extremal attractors of Liouville copulas
- The multivariate piecing-together approach revisited
- Inference for Archimax copulas
- Extreme semilinear copulas
- On an interaction function for copulas
- A law of uniform seniority for dependent lives
- Strength of tail dependence based on conditional tail expectation
- On a bivariate copula with both upper and lower full-range tail dependence
- scientific article; zbMATH DE number 1098865 (Why is no real title available?)
- Lower tail dependence for Archimedean copulas: characterizations and pitfalls
- Some applications of the Archimedean copulas in the proof of the almost sure central limit theorem for ordinary maxima
- scientific article; zbMATH DE number 1894358 (Why is no real title available?)
- Inference in multivariate Archimedean copula models
- Extremal behavior of diagonal and Bertino copulas
- scientific article; zbMATH DE number 5926757 (Why is no real title available?)
- Archimedean copulas, exchangeability, and max-stability
- On the asymptotic covariance of the multivariate empirical copula process
- Asymptotic properties of extremal Markov processes driven by Kendall convolution
- Tail negative dependence and its applications for aggregate loss modeling
- On the class of bivariate Archimax copulas under constraints
- scientific article; zbMATH DE number 5071069 (Why is no real title available?)
- When a copula is Archimax
- On tail dependence coefficients of transformed multivariate Archimedean copulas
- Spatial tail dependence and survival stability in a class of Archimedean copulas
This page was built for publication: Extremal behavior of Archimedean copulas
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2996576)
