Title of article
Gaussian approximation of conditional elliptical copulas
Author/Authors
Hashorva، نويسنده , , Enkelejd and Jaworski، نويسنده , , Piotr، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2012
Pages
11
From page
397
To page
407
Abstract
In this paper the limits of elliptical copulas under univariate conditioning are characterized, allowing for the conditioning random variable to have a rapidly varying tail. Further, we investigate the quality of approximation by imposing some weak asymptotic restrictions.
Keywords
Elliptical copula , Conditional copula , Gaussian approximation , Truncation of the first variable , Gumbel max-domain of attraction , Univariate conditioning
Journal title
Journal of Multivariate Analysis
Serial Year
2012
Journal title
Journal of Multivariate Analysis
Record number
1565942
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