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Copulas & Multivariate Extremes

  • Michael Falk
Chapter
Part of the Springer Series in Operations Research and Financial Engineering book series (ORFE)

Abstract

This chapter reveals the crucial role that copulas play in MEVT. The D-norm approach again proves to be quite a helpful tool. In particular, it turns out that a multivariate df F is in the domain of attraction of a multivariate EVD iff this is true for the univariate margins of F together with the condition that the copula of F in its upper tail is close to that of a generalized Pareto copula. As a consequence, MEVT actually means extreme value theory for copulas.

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Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  • Michael Falk
    • 1
  1. 1.Fakultät für Mathematik und InformatikUniversität WürzburgWürzburgGermany

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