Extreme-value copulas
(2009) , 20 pages
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- Abstract
- Being the limits of copulas of componentwise maxima in independent random samples, extreme - value copulas can be considered to provide appropriate models for the dependence structure between rare events. Extreme-value copulas not only arise naturally in the domain of extreme-value theory, they can also be a convenient choice to model general positive dependence structures.The aim of this survey is to present the reader with the state-of-the-art in dependence modeling via extreme-value copulas. Both probabilistic and statistical issues are reviewed, in a nonparametric as well as a parametric context.
Citations
Gudendorf, G., & Segers, J. (2009). Extreme-value copulas (STAT Discussion Papers 0926). https://hdl.handle.net/2078.5/33883