Tail Properties of Multivariate Archimedean Copulas

Details Tail Properties of Multivariate Archimedean Copulas Tail Properties of Multivariate Archimedean Copulas

2010-08-10

arxiv.org/abs/1008.1754v1

Mathematics

Probability

Scientific paper

In this thesis, the tail properties of multivariate Archimedean copulas are investigated using known representation theorems involving L1-norm symmetric distributions and the Williamson d-transform. Several new results on the asymptotic properties of the Williamson d-transform are established and subsequently used to study the tails of Archimedean copulas. This makes it possible to recover many known results regarding their tail behavior in a straightforward and transparent way. In particular, coefficients of tail dependence, extreme value limits and threshold copulas are considered. A central theme is the emphasis on the probabilistic aspects of stochastic representations, rather than the analytic aspects of representations involving Archimedean generators.

Affiliated with

Also associated with

No associations

Rating

Tail Properties of Multivariate Archimedean Copulas does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Tail Properties of Multivariate Archimedean Copulas, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Tail Properties of Multivariate Archimedean Copulas will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-584425