Convergence of Archimedean copulas

A. Charpentier, J.J.J. Segers

Research output: Contribution to journalArticleScientificpeer-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 languageEnglish
Pages (from-to)412-419
JournalStatistics & probability letters
Volume78
Issue number4
Publication statusPublished - 2008

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Charpentier, A., & Segers, J. J. J. (2008). Convergence of Archimedean copulas. Statistics & probability letters, 78(4), 412-419.
Charpentier, A. ; Segers, J.J.J. / Convergence of Archimedean copulas. In: Statistics & probability letters. 2008 ; Vol. 78, No. 4. pp. 412-419.
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Charpentier, A & Segers, JJJ 2008, 'Convergence of Archimedean copulas', Statistics & probability letters, vol. 78, no. 4, pp. 412-419.

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

In: Statistics & probability letters, Vol. 78, No. 4, 2008, p. 412-419.

Research output: Contribution to journalArticleScientificpeer-review

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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.

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Charpentier A, Segers JJJ. Convergence of Archimedean copulas. Statistics & probability letters. 2008;78(4):412-419.