Second-order expansions for maxima of dynamic bivariate normal copulas

DOI10.1016/J.SPL.2017.06.011MaRDI QIDQ1687227zbMATH OpenOpenAlexFDO

Authors Rui Wang, Xin Liao, Zuoxiang Peng

Publication date 22 December 2017

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1702.01234

zbMATH Keywords

dynamic bivariate normal copulamaximumsecond-order expansion

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Abstract: In this paper, we establish the second-order distributional expansions of normalized maxima of n independent observations, where the ith observation follows from a normal copula with its correlation coefficient being a monotone continuous function. These expansions can be used to deduce the convergence rates of distributions of normalized maxima to their limits.

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Cites work

• Asymptotics and statistical inferences on independent and non-identically distributed bivariate Gaussian triangular arrays
• Asymptotics for the maxima and minima of Hüsler-Reiss bivariate Gaussian arrays
• Bivariate extreme statistics. I
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• Dynamic bivariate normal copula
• Expansions and penultimate distributions of maxima of bivariate normal random vectors
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• scientific article; zbMATH DE number 4064244 (Why is no real title available?)
• Maxima and minima of independent and non-identically distributed bivariate Gaussian triangular arrays
• Maxima of normal random vectors: Between independence and complete dependence
• Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach
• Second-order expansions for maxima of dynamic bivariate normal copulas

Cited in

(4)

• Second-order expansions for maxima of dynamic bivariate normal copulas
• Second order expansions of distributions of maxima of bivariate Gaussian triangular arrays under power normalization
• Expansions and penultimate distributions of maxima of bivariate normal random vectors
• Dynamic bivariate normal copula

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