Extreme-Value Copulas
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.
Cite
@article{arxiv.0911.1015,
title = {Extreme-Value Copulas},
author = {Gordon Gudendorf and Johan Segers},
journal= {arXiv preprint arXiv:0911.1015},
year = {2009}
}
Comments
20 pages, 3 figures. Minor revision, typos corrected. To appear in F. Durante, W. Haerdle, P. Jaworski, and T. Rychlik (editors) "Workshop on Copula Theory and its Applications", Lecture Notes in Statistics -- Proceedings, Springer 2010