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 |
Depositing User: | EPrints Services |
Date Deposited: | 01 Oct 2010 13:42 |
Last Modified: | 24 Oct 2022 00:23 |
URI: | https://ueaeprints.uea.ac.uk/id/eprint/3646 |
DOI: | 10.1007/s10687-008-0072-4 |
Actions (login required)
![]() |
View Item |