Second-order expansions for maxima of dynamic bivariate normal copulas

Rui Wang, Xin Liao and Zuoxiang Peng

Statistics & Probability Letters, 2017, vol. 129, issue C, 275-283

Abstract: In this paper, we establish the second-order distributional expansions of normalized maxima of n independent observations, where the ith observation follows from a normal copula with its correlation coefficient being a monotone continuous function. These expansions can be used to deduce the convergence rates of distributions of normalized maxima to their limits.

Keywords: Dynamic bivariate normal copula; Maximum; Second-order expansion (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.06.011

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