On the Copula for multivariate Extreme Value distributions

Glauco Valle; Marco Aurelio Sanfins

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arXiv · 0908.2144

On the Copula for multivariate Extreme Value distributions

Glauco Valle·Marco Aurelio Sanfins

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Abstract

We show that all multivariate Extreme Value distributions, which are the possible weak limits of the $K$ 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.

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Glauco Valle, Marco Aurelio Sanfins. 2009-08-14. On the Copula for multivariate Extreme Value distributions. https://arxiv.org/abs/0908.2144

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