Second-order expansions for maxima of dynamic bivariate normal copulas
Probability
2017-06-02 v2
Abstract
In this paper, we establish the second-order distributional expansions of normalized maxima of n independent observations, where the ith observation follows from a normal copula with its correlation coefficient being a monotone continuous function. These expansions can be used to deduce the convergence rates of distributions of normalized maxima to their limits.
Keywords
Cite
@article{arxiv.1702.01234,
title = {Second-order expansions for maxima of dynamic bivariate normal copulas},
author = {Rui Wang and Xin Liao and Zuoxiang Peng},
journal= {arXiv preprint arXiv:1702.01234},
year = {2017}
}