Abstract
We show that all multivariate extreme value distributions, which are the possible weak limits of the K largest order statistics of i.i.d. samples, have the same copula, the so called K-extremal copula. This copula and its density are described through exact expressions. We also study measures of dependence, we obtain a weak convergence result and we propose a simulation algorithm for the K-extremal copula.
Citation
Marco Aurélio Sanfins. Glauco Valle. "On the copula for multivariate extreme value distributions." Braz. J. Probab. Stat. 26 (3) 288 - 305, August 2012. https://doi.org/10.1214/10-BJPS135
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