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.
Original language | English |
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Pages (from-to) | 129-148 |
Number of pages | 20 |
Journal | Extremes |
Volume | 12 |
Issue number | 2 |
DOIs | |
Publication status | Published - 2009 |