EconPapers    
Economics at your fingertips  
 

Extremal attractors of Liouville copulas

Léo R. Belzile and Johanna G. Nešlehová

Journal of Multivariate Analysis, 2017, vol. 160, issue C, 68-92

Abstract: Liouville copulas introduced in McNeil and Nešlehová (2010) are asymmetric generalizations of the ubiquitous Archimedean copula class. They are the dependence structures of scale mixtures of Dirichlet distributions, also called Liouville distributions. In this paper, the limiting extreme-value attractors of Liouville copulas and of their survival counterparts are derived. The limiting max-stable models, termed here the scaled extremal Dirichlet, are new and encompass several existing classes of multivariate max-stable distributions, including the logistic, negative logistic and extremal Dirichlet. As shown herein, the stable tail dependence function and angular density of the scaled extremal Dirichlet model have a tractable form, which in turn leads to a simple de Haan representation. The latter is used to design efficient algorithms for unconditional simulation based on the work of Dombry et al. (2016) and to derive tractable formulas for maximum-likelihood inference. The scaled extremal Dirichlet model is illustrated on river flow data of the river Isar in southern Germany.

Keywords: Extremal attractor; Extremal function; de Haan decomposition; Liouville copula; Scaled extremal Dirichlet model; Stable tail dependence function (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X17300453
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:160:y:2017:i:c:p:68-92

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2018-06-23
Handle: RePEc:eee:jmvana:v:160:y:2017:i:c:p:68-92