On the structure of exchangeable extreme-value copulas

Jan-Frederik Mai and Matthias Scherer

Journal of Multivariate Analysis, 2020, vol. 180, issue C

Abstract: We show that the set of d-variate symmetric stable tail dependence functions is a simplex and we determine its extremal boundary. The subset of elements which arises as d-margins of the set of (d+k)-variate symmetric stable tail dependence functions is shown to be proper for arbitrary k≥1. Finally, we derive an intuitive and useful necessary condition for a bivariate extreme-value copula to arise as bi-margin of an exchangeable extreme-value copula of arbitrarily large dimension, and thus to be conditionally iid.

Keywords: Conditionally iid; Exchangeability; Extendibility; Extreme-value copula; Stable tail dependence function (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.jmva.2020.104670

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