Conditional Tail Independence In Archimedean Copula Models

JOURNAL OF APPLIED PROBABILITY(2019)

引用 1|浏览2
暂无评分
摘要
Consider a random vector U whose distribution function coincides in its upper tail with that of an Archimedean copula. We report the fact that the conditional distribution of U, conditional on one of its components, has under a mild condition on the generator function independent upper tails, no matter what the unconditional tail behavior is. This finding is extended to Archimax copulas.
更多
查看译文
关键词
Archimedean copula, conditional distribution, asymptotic tail independence, domain of attraction, extreme value distribution, Archimax copula, D-norm
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要