Convergence of Archimedean Copulas

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.

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Year of publication:	2006
Authors:	Charpentier, A. ; Segers, J.J.J.
Institutions:	Tilburg University, Center for Economic Research
Subject:	Archimedean copula \| generator \| Kendall distribution function

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Extent:	application/pdf
Series:	Discussion Paper.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series CentER Discussion Paper Number 2006-28
Classification:	C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011091110