Extreme value properties of multivariate t copulas

被引：92

作者：

Nikoloulopoulos, Aristidis K. ^{[1
]}

Joe, Harry ^{[1
]}

Li, Haijun ^{[2
]}

机构：

[1] Univ British Columbia, Dept Stat, Vancouver, BC V6T 1Z2, Canada

[2] Washington State Univ, Dept Math, Pullman, WA 99164 USA

来源：

EXTREMES | 2009年 / 12卷 / 02期

基金：

美国国家科学基金会; 加拿大自然科学与工程研究理事会;

关键词：

Tail dependence function; Extreme value; t Copula; MAXIMA;

D O I：

10.1007/s10687-008-0072-4

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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 Husler-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.

引用

页码：129 / 148

页数：20

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