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Limiting Tail Dependence Copulas |
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| Authors: | Amir Ahmadi Javid |
| Affiliation: | 1. Department of Industrial Engineering , Amirkabir University of Technology (Tehran Polytechnic) , Tehran, Iran ahmadi_javid@aut.ac.ir |
| Abstract: | The limiting lower-tail dependence copula (LLTDC) is defined as the copula of random variables which are right-truncated at thresholds tending to their left endpoints. This article shows LLTDCs are truncation-invariant and belong to the Ahmadi-Clayton family. Accordingly, it follows that limiting upper-tail dependence copulas are members of the survival Ahmadi-Clayton family. |
| Keywords: | Ahmadi-Clayton family Extreme value theory Invariant copulas under truncation Multivariate copulas Tail events modeling Total limiting tail dependence copulas Truncation-invariant copulas |