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:	2006
Authors:	Charpentier, Arthur ; Segers, Johan
Publisher:	[S.l.] : SSRN
Subject:	Multivariate Verteilung \| Multivariate distribution \| Wirtschaftliche Konvergenz \| Economic convergence \| Theorie \| Theory \| Welt \| World

Extent:	1 Online-Ressource (11 p)
Series:	CentER Discussion Paper Series ; No. 2006-28
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 2006 erstellt
Other identifiers:	10.2139/ssrn.900113 [DOI]
Classification:	C14 - Semiparametric and Nonparametric Methods ; C16 - Specific Distributions
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014058533