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Extremal behavior of Archimedean copulas

Published online by Cambridge University Press:  01 July 2016

Martin Larsson*
Affiliation:
Cornell University
Johanna Nešlehová*
Affiliation:
McGill University
*
Postal address: Department of Operations Research and Information Engineering, Cornell University, 206 Rhodes Hall, Ithaca, NY 14853, USA.
∗∗ Postal address: Department of Mathematics and Statistics, McGill University, 805, rue Sherbrooke Ouest, Montréal (Québec), H3A 2K6, Canada. Email address: [email protected]
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Abstract

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We show how the extremal behavior of d-variate Archimedean copulas can be deduced from their stochastic representation as the survival dependence structure of an ℓ1-symmetric distribution (see McNeil and Nešlehová (2009)). We show that the extremal behavior of the radial part of the representation is determined by its Williamson d-transform. This leads in turn to simple proofs and extensions of recent results characterizing the domain of attraction of Archimedean copulas, their upper and lower tail-dependence indices, as well as their associated threshold copulas. We outline some of the practical implications of their results for the construction of Archimedean models with specific tail behavior and give counterexamples of Archimedean copulas whose coefficient of lower tail dependence does not exist.

Type
General Applied Probability
Copyright
Copyright © Applied Probability Trust 2011 

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