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The t Copula and Related Copulas - MaRDI portal

The t Copula and Related Copulas (Q3421330)

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The t Copula and Related Copulas
scientific article

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    title
    The t Copula and Related Copulas (English)
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    author
    Stefano Demarta
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    Alexander J. McNeil
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    publication date
    12 February 2007
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    Mathematics Subject Classification ID
    62H05
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    62G32
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    62E20
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    62H10
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    62H20
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    62H12
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    zbMATH DE Number
    5124853
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    zbMATH Keywords
    copula
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    multivariate \(t\)-distribution
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    Kendall's rank correlation
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    tail dependence
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    multivariate extreme value theory
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    Gumbel copula
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    Clayton copula
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    OpenAlex ID
    W2127958806
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