Convergence of Archimedean copulas

被引：17
作者：
Charpentier, Arthur [1 ]
Segers, Johan [2 ,3 ]
机构：
[1] ENSAE, CREST, Timbre J120, F-92240 Malakoff, France
[2] Tilburg Univ, B-1348 Louvain, Belgium
[3] Catholic Univ Louvain, Inst Stat, B-1348 Louvain, Belgium
来源：
STATISTICS & PROBABILITY LETTERS | 2008年 / 78卷 / 04期
关键词：
Archimedean copula; generator; Kendall distribution function;
D O I：
10.1016/j.spl.2007.07.014
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions. No extra differentiability conditions on the generators are needed. (c) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码：412 / 419
页数：8
相关论文
共 50 条
  • [1] On convergence and singularity of conditional copulas ofmultivariate Archimedean copulas, and conditional dependence
    Kasper, Thimo M.
    JOURNAL OF MULTIVARIATE ANALYSIS, 2024, 201
  • [2] On convergence and mass distributions of multivariate Archimedean copulas and their interplay with the Williamson transform
    Kasper, Thimo M.
    Dietrich, Nicolas
    Trutschnig, Wolfgang
    JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2024, 529 (01)
  • [3] On Generators in Archimedean Copulas
    Najjari, Vadoud
    SAHAND COMMUNICATIONS IN MATHEMATICAL ANALYSIS, 2018, 12 (01): : 155 - 166
  • [4] Properties of hierarchical Archimedean copulas
    Okhrin, Ostap
    Okhrin, Yarema
    Schmid, Wolfgang
    STATISTICS & RISK MODELING, 2013, 30 (01) : 21 - 53
  • [5] EXTREMAL BEHAVIOR OF ARCHIMEDEAN COPULAS
    Larsson, Martin
    Neslehova, Johanna
    ADVANCES IN APPLIED PROBABILITY, 2011, 43 (01) : 195 - 216
  • [6] From Archimedean to Liouville copulas
    McNeil, Alexander J.
    Neslehova, Johanna
    JOURNAL OF MULTIVARIATE ANALYSIS, 2010, 101 (08) : 1772 - 1790
  • [7] Tails of multivariate Archimedean copulas
    Charpentier, Arthur
    Segers, Johan
    JOURNAL OF MULTIVARIATE ANALYSIS, 2009, 100 (07) : 1521 - 1537
  • [8] Simulation for Mixture of Archimedean Copulas
    Ou, Shide
    MECHANICAL ENGINEERING AND INTELLIGENT SYSTEMS, PTS 1 AND 2, 2012, 195-196 : 738 - 743
  • [9] On weak conditional convergence of bivariate Archimedean and Extreme Value copulas, and consequences to nonparametric estimation
    Kasper, Thimo M.
    Fuchs, Sebastian
    Trutschnig, Wolfgang
    BERNOULLI, 2021, 27 (04) : 2217 - 2240
  • [10] On the consistency of an estimator for hierarchical Archimedean copulas
    Gorecki, Jan
    Hofert, Marius
    Holena, Martin
    MATHEMATICAL METHODS IN ECONOMICS (MME 2014), 2014, : 239 - 244
12345