Gaussian approximation of conditional elliptical copulas

Enkelejd Hashorva and Piotr Jaworski

Journal of Multivariate Analysis, 2012, vol. 111, issue C, 397-407

Abstract: In this paper the limits of elliptical copulas under univariate conditioning are characterized, allowing for the conditioning random variable to have a rapidly varying tail. Further, we investigate the quality of approximation by imposing some weak asymptotic restrictions.

Keywords: Elliptical copula; Conditional copula; Univariate conditioning; Truncation of the first variable; Gaussian approximation; Gumbel max-domain of attraction (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.jmva.2012.04.017

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