A Limit Theorem for Copulas
| Autor: | Lindner, Alexander M., Szimayer, Alexander |
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| Jazyk: | angličtina |
| Rok vydání: | 2005 |
| Předmět: | |
| DOI: | 10.5282/ubm/epub.1802 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
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