English

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 dd-variate symmetric stable tail dependence functions, uniquely associated with exchangeable dd-dimensional extreme-value copulas, is a simplex and determine its extremal boundary. The subset of elements which arises as dd-margins of the set of (d+k)(d+k)-variate symmetric stable tail dependence functions is shown to be proper for arbitrary k1k \geq 1. 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}
}
R2 v1 2026-06-23T11:21:16.803Z