Tail order and intermediate tail dependence of multivariate copulas

DOI10.1016/j.jmva.2011.05.011zbMath1221.62079MaRDI QIDQ634561

Joe, Harry, Lei Hua

Publication date: 16 August 2011

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.05.011

zbMATH Keywords

Laplace transform; regular variation; reflection symmetry; Archimedean copula; tail asymmetry; max-infinitely divisible; maximal moment

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

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

62G32: Statistics of extreme values; tail inference