Convergence of Archimedean copulas

Arthur Charpentier and Johan Segers

Statistics & Probability Letters, 2008, vol. 78, issue 4, 412-419

Abstract: Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions. No extra differentiability conditions on the generators are needed.

Keywords: Archimedean; copula; Generator; Kendall; distribution; function (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (6)

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