A limit theorem for copulas

We characterize convergence of a sequence of d-dimensional random vectors by convergence of the one-dimensional margins and of the copula. The result is applied to the approximation of portofolio modelled by t-copulas with large degrees of freedom, and to the convergence of certain dependence measures of bivariate distributions.

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Year of publication:	2005
Authors:	Lindner, Alexander M. ; Szimayer, Alexander
Publisher:	München : Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
Subject:	convergence \| copula \| t-copula

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Series:	Discussion Paper ; 433
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.5282/ubm/epub.1802 [DOI] 485117614 [GVK] hdl:10419/31052 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010276838