Convergence of Archimedean copulas

A. Charpentier; J.J.J. Segers

Convergence of Archimedean copulas

A. Charpentier, J.J.J. Segers

Research output: Contribution to journal › Article › Scientific › peer-review

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 language	English
Pages (from-to)	412-419
Journal	Statistics & Probability Letters
Volume	78
Issue number	4
Publication status	Published - 2008

Cite this

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title = "Convergence of Archimedean copulas",

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.",

author = "A. Charpentier and J.J.J. Segers",

note = "Appeared earlier as CentER Discussion Paper 2006-28",

year = "2008",

language = "English",

volume = "78",

pages = "412--419",

journal = "Statistics & Probability Letters",

issn = "0167-7152",

publisher = "Elsevier B.V.",

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T1 - Convergence of Archimedean copulas

AU - Charpentier, A.

AU - Segers, J.J.J.

N1 - Appeared earlier as CentER Discussion Paper 2006-28

PY - 2008

Y1 - 2008

N2 - 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.

AB - 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.

M3 - Article

SN - 0167-7152

VL - 78

SP - 412

EP - 419

JO - Statistics & Probability Letters

JF - Statistics & Probability Letters

IS - 4

ER -

Convergence of Archimedean copulas

Abstract

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