Extreme value properties of multivariate \(t\) copulas

DOI10.1007/s10687-008-0072-4zbMath1223.62081OpenAlexW2037593253MaRDI QIDQ626284

Haijun Li, Aristidis K. Nikoloulopoulos, Joe, Harry

Publication date: 22 February 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-008-0072-4

zbMATH Keywords

extreme value tail dependence functions

Mathematics Subject Classification ID

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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