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Convergence of Archimedean copulas

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Author Info
Charpentier, Arthur
Segers, Johan (Tilburg University, Center for Economic Research)
Abstract

Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions. No extra differentiability conditions on the generators are needed.

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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 28.

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Date of creation: 2006
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Handle: RePEc:dgr:kubcen:200628

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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions

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References listed on IDEAS
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  1. Juri, Alessandro & Wuthrich, Mario V., 2002. "Copula convergence theorems for tail events," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 405-420, June. [Downloadable!] (restricted)
  2. Christian Genest & Jean-François Quessy & Bruno Rémillard, 2006. "Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association and Swedish Statistical Association, vol. 33(2), pages 337-366. [Downloadable!] (restricted)
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  1. Charpentier, Arthur & Segers, Johan, 2006. "Lower tail dependence for Archimedean copulas: characterizations and pitfalls," Discussion Paper 29, Tilburg University, Center for Economic Research. [Downloadable!]
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This page was last updated on 2008-7-29.

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