Extreme value properties of multivariate t copulas

Extremes volume 12, pages129–148(2009)Cite this article

Abstract

The extremal dependence behavior of t copulas is examined and their extreme value limiting copulas, called the t-EV copulas, are derived explicitly using tail dependence functions. As two special cases, the Hüsler–Reiss and the Marshall–Olkin distributions emerge as limits of the t-EV copula as the degrees of freedom go to infinity and zero respectively. The t copula and its extremal variants attain a wide range in the set of bivariate tail dependence parameters.

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Author information

Affiliations

  1. Department of Statistics, University of British Columbia, Vancouver, British Columbia, Canada, V6T 1Z2

    Aristidis K. Nikoloulopoulos & Harry Joe

  2. Department of Mathematics, Washington State University, Pullman, WA, 99164, USA

    Haijun Li

Authors
  1. Aristidis K. Nikoloulopoulos
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  2. Harry Joe
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  3. Haijun Li
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Correspondence to Aristidis K. Nikoloulopoulos.

Additional information

Supported by NSERC Discovery Grant.

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Nikoloulopoulos, A.K., Joe, H. & Li, H. Extreme value properties of multivariate t copulas. Extremes 12, 129–148 (2009). https://doi.org/10.1007/s10687-008-0072-4

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Keywords

  • Tail dependence function
  • Extreme value
  • t Copula

AMS 2000 Subject Classifications

  • 62H20
  • 91B30