Convergence of Archimedean Copulas

A. Charpentier, J.J.J. Segers

Research output: Working paperDiscussion paperOther research output

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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

Fingerprint

Archimedean Copula
Copula
Differentiability
Distribution Function
Generator

Keywords

  • Archimedean copula
  • generator
  • Kendall distribution function

Cite this

Charpentier, A., & Segers, J. J. J. (2006). Convergence of Archimedean Copulas. (CentER Discussion Paper; Vol. 2006-28). Tilburg: Econometrics.
Charpentier, A. ; Segers, J.J.J. / Convergence of Archimedean Copulas. Tilburg : Econometrics, 2006. (CentER Discussion Paper).
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note = "Subsequently published in Statistics and Probability Letters, 2008 Pagination: 12",
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Charpentier, A & Segers, JJJ 2006 'Convergence of Archimedean Copulas' CentER Discussion Paper, vol. 2006-28, Econometrics, Tilburg.

Convergence of Archimedean Copulas. / Charpentier, A.; Segers, J.J.J.

Tilburg : Econometrics, 2006. (CentER Discussion Paper; Vol. 2006-28).

Research output: Working paperDiscussion paperOther research output

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Charpentier A, Segers JJJ. Convergence of Archimedean Copulas. Tilburg: Econometrics. 2006. (CentER Discussion Paper).