Convergence of Archimedean copulas

Charpentier, Arthur;Segers, Johan
(2008) Statistics & Probability Letters — Vol. 78, n° 4, p. 412-419 (2008)

Files

pdfdocument.pdf
  • Restricted Access
  • Adobe PDF
  • 161.22 KB
Request a copy

Details

Authors
Abstract
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.
Affiliations

Citations

  • APA
  • Chicago
  • FWB

Charpentier, A., & Segers, J. (2008). Convergence of Archimedean copulas. Statistics & Probability Letters, 78(4), 412-419. https://doi.org/10.1016/j.spl.2007.07.014 (Original work published 2008)