The t Copula and Related Copulas
The t copula and its properties are described with a focus on issues related to the dependence of extreme values. The Gaussian mixture representation of a multivariate t distribution is used as a starting point to construct two new copulas, the skewed t copula and the grouped t copula, which allow m...
| Veröffentlicht in: | International Statistical Review / Revue Internationale de Statistique. - Blackwell Publishing Ltd. - 73(2005), 1, Seite 111-129 |
|---|---|
| 1. Verfasser: | |
| Weitere Verfasser: | |
| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2005
|
| Zugriff auf das übergeordnete Werk: | International Statistical Review / Revue Internationale de Statistique |
| Schlagworte: | Copula Multivariate t distribution Kendall's rank correlation Tail dependence Multivariate extreme value theory Gumbel copula Clayton copula Mathematics Linguistics Physical sciences |
| Online verfügbar |
Volltext |