Convergence of Archimedean Copulas

A. Charpentier, J.J.J. Segers

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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.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages12
Volume2006-28
Publication statusPublished - 2006

Publication series

NameCentER Discussion Paper
Volume2006-28

Keywords

  • Archimedean copula
  • generator
  • Kendall distribution function

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