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The limiting distribution of a bivariate random vector under univariate truncation

Author

Listed:
  • F. Durante

    (Università del Salento)

  • C. Ignazzi

    (Università del Salento)

  • P. Jaworski

    (University of Warsaw)

Abstract

The dependence structure in the tails of bivariate random vectors is studied by means of the copula representation. In particular, asymptotic results for the distribution of a random pair under univariate truncation is proved in the spirit of multivariate extensions of the Pickands-Balkema-de Haan Theorem.

Suggested Citation

  • F. Durante & C. Ignazzi & P. Jaworski, 2025. "The limiting distribution of a bivariate random vector under univariate truncation," Statistical Papers, Springer, vol. 66(2), pages 1-28, February.
    • Handle: RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-025-01663-4
    DOI: 10.1007/s00362-025-01663-4
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    References listed on IDEAS

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    1. Charpentier, Arthur & Segers, Johan, 2009. "Tails of multivariate Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1521-1537, August.
    2. Siburg, Karl Friedrich & Strothmann, Christopher & Weiß, Gregor, 2024. "Comparing and quantifying tail dependence," Insurance: Mathematics and Economics, Elsevier, vol. 118(C), pages 95-103.
    3. Hofert, Marius, 2021. "Right-truncated Archimedean and related copulas," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 79-91.
    4. Hua, Lei & Joe, Harry, 2011. "Tail order and intermediate tail dependence of multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 102(10), pages 1454-1471, November.
    5. Bernard, Carole & Czado, Claudia, 2015. "Conditional quantiles and tail dependence," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 104-126.
    6. Bernardi, M. & Durante, F. & Jaworski, P., 2017. "CoVaR of families of copulas," Statistics & Probability Letters, Elsevier, vol. 120(C), pages 8-17.
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