Extreme value properties of multivariate t copulas |
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Authors: | Aristidis K Nikoloulopoulos Harry Joe Haijun Li |
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Institution: | (1) Department of Statistics, University of British Columbia, Vancouver, British Columbia, Canada, V6T 1Z2;(2) Department of Mathematics, Washington State University, Pullman, WA 99164, USA |
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Abstract: | The extremal dependence behavior of t copulas is examined and their extreme value limiting copulas, called the t-EV copulas, are derived explicitly using tail dependence functions. As two special cases, the Hüsler–Reiss and the Marshall–Olkin
distributions emerge as limits of the t-EV copula as the degrees of freedom go to infinity and zero respectively. The t copula and its extremal variants attain a wide range in the set of bivariate tail dependence parameters.
Supported by NSERC Discovery Grant. |
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Keywords: | Tail dependence function Extreme value t Copula |
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