Characterization of multivariate heavy-tailed distribution families via copula

DOI10.1016/J.JMVA.2011.12.001MaRDI QIDQ765839zbMATHOpenAlexFDO

Authors Chengguo Weng, Yi Zhang

Publication date 22 March 2012

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

Full work available at URL https://doi.org/10.1016/j.jmva.2011.12.001

zbMATH Keywords

multivariate regular variationtail dependence functionmultivariate long-tailed distributionsmultivariate subexponential distributions

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Recommendations

• Toward a copula theory for multivariate regular variation
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Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• An introduction to copulas.
• Asymptotic independence and a network traffic model
• Asymptotic results for the sum of dependent non-identically distributed random variables
• Extremal behavior of Archimedean copulas
• Extreme value theory. An introduction.
• Heavy-Tail Phenomena
• Limit theory for multivariate sample extremes
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Multivariate subexponential distributions
• Subexponentiality of the product of independent random variables
• Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
• Tails of multivariate Archimedean copulas

Cited in

(13)

• Relations between hidden regular variation and the tail order of copulas
• Testing the Multivariate Regular Variation Model
• Toward a copula theory for multivariate regular variation
• Multivariate risk models under heavy-tailed risks
• Asymptotics for credit portfolio losses due to defaults in a multi-sector model
• Paths and indices of maximal tail dependence
• Regular variation, conditions of domain of attraction and the existence of the tail dependence function in the general dependence case: a copula approach
• Testing for Positive Quadrant Dependence
• On \(1/f\) noise
• A new class of copula regression models for modelling multivariate heavy-tailed data
• On the foundations of multivariate heavy-tail analysis
• Extremes for multivariate expectiles
• On multivariate extensions of the conditional value-at-risk measure

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