Archimedean copulas, exchangeability, and max-stability
1994 ◽
Vol 31
(02)
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pp. 383-390
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Keyword(s):
An exchangeable sequence of random variables is constructed with all finite-dimensional distribution functions having an Archimedean copula (as defined by Schweizer and Sklar (1983)). Through a monotone transformation of this exchangeable sequence, we obtain and characterize the class of exchangeable sequences possessing the max-stable property as defined by De Haan and Rachev (1989). Several parametric examples are given.
1973 ◽
Vol 17
(1)
◽
pp. 1040-1047
◽
2021 ◽
Vol 10
(5)
◽
pp. 20
1993 ◽
Vol 13
(3)
◽
pp. 533-556
◽