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Nikoloulopoulos, Aristidis K 
ORCID: https://orcid.org/0000-0003-0853-0084, Joe, Harry and Li, Haijun
(2009)
Extreme value properties of multivariate t copulas.
Extremes, 12 (2).
pp. 129-148.
Abstract
The extremal dependence behavior of t copulas is examined and their extreme value limiting copulas, called the t-EV copulas, are derived explicitly using tail dependence functions. As two special cases, the Hüsler–Reiss and the Marshall–Olkin distributions emerge as limits of the t-EV copula as the degrees of freedom go to infinity and zero respectively. The t copula and its extremal variants attain a wide range in the set of bivariate tail dependence parameters.
| Item Type: | Article |
|---|---|
| Faculty \ School: | Faculty of Science > School of Computing Sciences |
| UEA Research Groups: | Faculty of Science > Research Groups > Statistics (former - to 2024) Faculty of Science > Research Groups > Numerical Simulation, Statistics & Data Science |
| Depositing User: | EPrints Services |
| Date Deposited: | 01 Oct 2010 13:42 |
| Last Modified: | 08 Nov 2024 09:30 |
| URI: | https://ueaeprints.uea.ac.uk/id/eprint/3646 |
| DOI: | 10.1007/s10687-008-0072-4 |
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