On the Copula for multivariate Extreme Value distributions
Probability
2015-03-13 v2 Statistics Theory
Statistics Theory
Abstract
We show that all multivariate Extreme Value distributions, which are the possible weak limits of the largest order statistics of iid sequences, have the same copula, the so called K-extremal copula. This copula is described through exact expressions for its density and distribution functions. We also study measures of dependence, we obtain a weak convergence result and we propose a simulation algorithm for the K-extremal copula.
Cite
@article{arxiv.0908.2144,
title = {On the Copula for multivariate Extreme Value distributions},
author = {Glauco Valle and Marco Aurelio Sanfins},
journal= {arXiv preprint arXiv:0908.2144},
year = {2015}
}
Comments
11 pages