Extreme value properties of multivariate \(t\) copulas
type: Item
instance of: scholarly article
title: Extreme value properties of multivariate \(t\) copulas
zbMATH Open document ID: 1223.62081
author: Aristidis K. Nikoloulopoulos
author: Haijun Li
author: Harry Joe
published in: Extremes
publication date: 2011-02-22T00:00:00Z
review text: The authors deal with the extremal dependence behaviour of \(t\) copulas. The extreme value limiting copulas [\(t\)-EV-copulas, see \textit{H. Joe}, Multivariate models and dependence concepts. London: Chapman and Hall (1997; Zbl 0990.62517)] are derived explicitly using the introduced tail dependence and conditional tail dependence functions. The sharpness of the inequalities among three tail dependence parameters of a trivariate margin is proved. It is shown that the \(t\)-EV copulas yield the Hüsler-Reiss distribution and the Marshall-Olkinn distribution as the degrees of freedom go to infinity and zero, respectively. Several distributions are compared in the range of triplets of tail dependence parameters.
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 62G32
zbMATH DE Number: 5855722
zbMATH Keywords: tail dependence functions
zbMATH Keywords: extreme value
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: s10687-008-0072-4
OpenAlex ID: W2037593253
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DOI: 10.1007/S10687-008-0072-4
description: scientific article; zbMATH DE number 5855722