Characterization of multivariate heavy-tailed distribution families via copula
DOI10.1016/J.JMVA.2011.12.001zbMATH Open1236.62048OpenAlexW3123856454MaRDI QIDQ765839FDOQ765839
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
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Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Cites Work
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- Extreme value theory. An introduction.
- An introduction to copulas.
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
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- Tails of multivariate Archimedean copulas
- Extremal behavior of Archimedean copulas
- Title not available (Why is that?)
- Heavy-Tail Phenomena
- Subexponentiality of the product of independent random variables
- Multivariate subexponential distributions
- Asymptotic independence and a network traffic model
- Asymptotic results for the sum of dependent non-identically distributed random variables
- Limit theory for multivariate sample extremes
- Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
Cited In (12)
- Regular variation, conditions of domain of attraction and the existence of the tail dependence function in the general dependence case: a copula approach
- Asymptotics for credit portfolio losses due to defaults in a multi-sector model
- Relations between hidden regular variation and the tail order of copulas
- Toward a copula theory for multivariate regular variation
- Extremes for multivariate expectiles
- On the foundations of multivariate heavy-tail analysis
- On multivariate extensions of the conditional value-at-risk measure
- Multivariate risk models under heavy-tailed risks
- Testing the Multivariate Regular Variation Model
- Testing for Positive Quadrant Dependence
- On \(1/f\) noise
- Paths and indices of maximal tail dependence
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