Extremal behavior of Archimedean copulas

DOI10.1239/aap/1300198519zbMath1213.62084OpenAlexW2072212640MaRDI QIDQ2996576

Martin Larsson, Johanna G. Nešlehová

Publication date: 3 May 2011

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1300198519

zbMATH Keywords

regular variationdomain of attractiontail dependenceextreme value copulasimplex distributionWilliamson transform\(\ell_1\)-norm symmetric distributionthreshold copula

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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