Extreme-Value Copulas

2009/11/05 by Gordon Gudendorf, Johan Segers, Gudendorf, Gordon +1 · 4 citations
Economics, Econometrics and Finance · Environmental Science · Mathematics · #62G32 #62H20 #FOS: Mathematics #Financial Risk and Volatility Modeling #Hydrology and Drought Analysis #Statistical Distribution Estimation and Applications #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.0911.1015

openalex publication_date 2009/11/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Being the limits of copulas of componentwise maxima in independent random samples, extreme-value copulas can be considered to provide appropriate models for the dependence structure between rare events. Extreme-value copulas not only arise naturally in the domain of extreme-value theory, they can also be a convenient choice to model general positive dependence structures. The aim of this survey is to present the reader with the state-of-the-art in dependence modeling via extreme-value copulas. Both probabilistic and statistical issues are reviewed, in a nonparametric as well as a parametric context.

Citations

• Statistics for near independence in multivariate extreme values
• The t Copula and Related Copulas

Cited by

• Design loads for wave impacts -- introducing the Probabilistic Adaptive Screening (PAS) method for predicting extreme non-linear loads on maritime structures
• Amortized Bayesian Inference for Spatio-Temporal Extremes: A Copula Factor Model with Autoregression
• Copula-Based Clustering of Financial Time Series via Evidence Accumulation
• A New Regression Model for Analyzing Non-Stationary Extremes in Response and Covariate Variables with an Application in Meteorology

Related

• An overview of nonparametric tests of extreme-value dependence and of some related statistical procedures
• On the Copula for multivariate Extreme Value distributions
• Extreme value copula estimation based on block maxima of a multivariate\n stationary time series
• Large-sample tests of extreme-value dependence for multivariate copulas
• The t Copula and Related Copulas