A Limit Theorem for Copulas

Lindner, Alexander M. und Szimayer, Alexander (2005): A Limit Theorem for Copulas. Sonderforschungsbereich 386, Discussion Paper 433

Abstract

We characterize convergence of a sequence of d-dimensional random vectors by convergence of the one-dimensional margins and of the copula. The result is applied to the approximation of portfolios modelled by t-copulas with large degrees of freedom, and to the convergence of certain dependence measures of bivariate distributions.

• Dokumententyp: Paper
• Fakultät: Mathematik, Informatik und Statistik > Statistik > Sonderforschungsbereich 386 ; Sonderforschungsbereiche > Sonderforschungsbereich 386
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• Sprache: Englisch