On the Copula for multivariate Extreme Value distributions

Details On the Copula for multivariate Extreme Value distributions On the Copula for multivariate Extreme Value distributions

2009-08-14

arxiv.org/abs/0908.2144v2

Mathematics

Probability

11 pages

Scientific paper

We show that all multivariate Extreme Value distributions, which are the possible weak limits of the $K$ largest order statistics of iid sequences, have the same copula, the so called K-extremal copula. This copula is described through exact expressions for its density and distribution functions. We also study measures of dependence, we obtain a weak convergence result and we propose a simulation algorithm for the K-extremal copula.

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