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arXiv · 0911.1015

Extreme-Value Copulas

Gordon Gudendorf·Johan Segers
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Abstract

Being the limits of copulas of componentwise maxima in independent random samples, extreme-value copulas can be considered to provide appropriate models for the dependence structure between rare events. Extreme-value copulas not only arise naturally in the domain of extreme-value theory, they can also be a convenient choice to model general positive dependence structures. The aim of this survey is to present the reader with the state-of-the-art in dependence modeling via extreme-value copulas. Both probabilistic and statistical issues are reviewed, in a nonparametric as well as a parametric context.

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Gordon Gudendorf, Johan Segers. 2009-12-07. Extreme-Value Copulas. https://arxiv.org/abs/0911.1015

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