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
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