The t Copula and Related Copulas

DOI10.1111/j.1751-5823.2005.tb00254.xzbMath1104.62060OpenAlexW2127958806MaRDI QIDQ3421330

Stefano Demarta, Alexander J. McNeil

Publication date: 12 February 2007

Published in: International Statistical Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1751-5823.2005.tb00254.x

zbMATH Keywords

copula tail dependence multivariate \(t\)-distribution Clayton copula multivariate extreme value theory Gumbel copula Kendall's rank correlation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

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