Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146092 | Journal of Multivariate Analysis | 2012 | 11 Pages |
Abstract
In this paper the limits of elliptical copulas under univariate conditioning are characterized, allowing for the conditioning random variable to have a rapidly varying tail. Further, we investigate the quality of approximation by imposing some weak asymptotic restrictions.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Enkelejd Hashorva, Piotr Jaworski,