On the structure of exchangeable extreme-value copulas

DOI10.1016/j.jmva.2020.104670zbMath1453.60042arXiv1909.09438OpenAlexW2974089631MaRDI QIDQ2201562

Jan-Frederik Mai, Matthias Scherer

Publication date: 29 September 2020

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

Full work available at URL: https://arxiv.org/abs/1909.09438

zbMATH Keywords

extendibilityexchangeabilityextreme-value copulastable tail dependence functionconditionally iid

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32) Random number generation in numerical analysis (65C10)

Related Items (2)

New characterizations of multivariate max-domain of attraction and \(D\)-norms ⋮ About the exact simulation of bivariate (reciprocal) Archimax copulas

Uses Software

• CopulaModel

Cites Work

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