On the structure of exchangeable extreme-value copulas
Statistics Theory
2020-12-11 v1 Probability
Methodology
Statistics Theory
Abstract
We show that the set of -variate symmetric stable tail dependence functions, uniquely associated with exchangeable -dimensional extreme-value copulas, is a simplex and determine its extremal boundary. The subset of elements which arises as -margins of the set of -variate symmetric stable tail dependence functions is shown to be proper for arbitrary . Finally, we derive an intuitive and useful necessary condition for a bivariate extreme-value copula to arise as bi-margin of an exchangeable extreme-value copula of arbitrarily large dimension, and thus to be conditionally iid.
Keywords
Cite
@article{arxiv.1909.09438,
title = {On the structure of exchangeable extreme-value copulas},
author = {Jan-Frederik Mai and Matthias Scherer},
journal= {arXiv preprint arXiv:1909.09438},
year = {2020}
}