Title: On the Copula for multivariate Extreme Value distributions
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 copul...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.Read More
Publication Year: 2009
Publication Date: 2009-08-14
Language: en
Type: preprint
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