Convergence of Archimedean copulas

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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Year of publication:	2008
Authors:	Charpentier, Arthur ; Segers, Johan
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 4, p. 412-419
Publisher:	Elsevier
Keywords:	Archimedean copula Generator Kendall distribution function

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005313911