کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1145390 1489662 2015 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Higher order tail densities of copulas and hidden regular variation
ترجمه فارسی عنوان
تراکم قطر مخروطی ها و تغییرات جزئی پنهان
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
چکیده انگلیسی

A notion of higher order tail densities for copulas is introduced using multivariate regular variation of copula densities, and densities of multivariate extremes with various margins can then be studied in a unified fashion. We show that the tail of a multivariate density can be decomposed into the tail density of the underlying copula, coupled with marginal tail transforms of the three types: Fréchet, Gumbel, and Weibull types. We also derive the relation between the tail density and tail order functions of a copula in the context of hidden regular variation. Some illustrative examples are given.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 138, June 2015, Pages 143–155
نویسندگان
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