Extreme-Value Copulas Export

@article{citeulike:6080247, 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.}, archivePrefix = {arXiv}, author = {Gudendorf, Gordon and Segers, Johan}, citeulike-article-id = {6080247}, citeulike-linkout-0 = {http://arxiv.org/abs/0911.1015}, citeulike-linkout-1 = {http://arxiv.org/pdf/0911.1015}, day = {5}, eprint = {0911.1015}, keywords = {copula, extreme-value}, month = {Nov}, posted-at = {2009-11-06 09:21:57}, priority = {2}, title = {Extreme-Value Copulas}, url = {http://arxiv.org/abs/0911.1015}, year = {2009} }

TY - JOUR ID - citeulike:6080247 L3 - citeulike-article-id:6080247 N2 - 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. TI - Extreme-Value Copulas KW - copula KW - extreme-value AU - Gudendorf, Gordon AU - Segers, Johan PY - 2009/Nov/05/ UR - http://arxiv.org/abs/0911.1015 ER -