Extreme-Value Copulas

Details Extreme-Value Copulas Extreme-Value Copulas

2009-11-05

arxiv.org/abs/0911.1015v2

Mathematics

Statistics Theory

20 pages, 3 figures. Minor revision, typos corrected. To appear in F. Durante, W. Haerdle, P. Jaworski, and T. Rychlik (editor

Scientific paper

Being the limits of copulas of componentwise maxima in independent random samples, extreme-value copulas can be considered to provide appropriate models for the dependence structure between rare events. Extreme-value copulas not only arise naturally in the domain of extreme-value theory, they can also be a convenient choice to model general positive dependence structures. The aim of this survey is to present the reader with the state-of-the-art in dependence modeling via extreme-value copulas. Both probabilistic and statistical issues are reviewed, in a nonparametric as well as a parametric context.

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