Tails of multivariate Archimedean copulas

Details Tails of multivariate Archimedean copulas Tails of multivariate Archimedean copulas

2009-01-12

arxiv.org/abs/0901.1521v1

Mathematics

Probability

to appear in the Journal of Multivariate Analysis

Scientific paper

A complete and user-friendly directory of tails of Archimedean copulas is presented which can be used in the selection and construction of appropriate models with desired properties. The results are synthesized in the form of a decision tree: Given the values of some readily computable characteristics of the Archimedean generator, the upper and lower tails of the copula are classified into one of three classes each, one corresponding to asymptotic dependence and the other two to asymptotic independence. For a long list of single-parameter families, the relevant tail quantities are computed so that the corresponding classes in the decision tree can easily be determined. In addition, new models with tailor-made upper and lower tails can be constructed via a number of transformation methods. The frequently occurring category of asymptotic independence turns out to conceal a surprisingly rich variety of tail dependence structures.

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