Tails of multivariate Archimedean copulas

DOI10.1016/j.jmva.2008.12.015zbMath1165.62038arXiv0901.1521OpenAlexW1996904352MaRDI QIDQ1021851

Publication date: 9 June 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0901.1521

zbMATH Keywords

regular variation domain of attraction asymptotic independence frailty model coefficient of tail dependence extreme value distribution Archimedean copula Clayton copula complete monotonicity survival copula tail dependence copula

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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