Extreme value properties of multivariate \(t\) copulas

DOI10.1007/s10687-008-0072-4zbMath1223.62081MaRDI QIDQ626284

Joe, Harry, Haijun Li, Aristidis K. Nikoloulopoulos

Publication date: 22 February 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-008-0072-4

zbMATH Keywords

extreme value; tail dependence functions

Mathematics Subject Classification ID

62H20: Measures of association (correlation, canonical correlation, etc.)

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62G32: Statistics of extreme values; tail inference

Related Items

Tail dependence functions and vine copulas, Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions

Uses Software

• QRM