A Limit Theorem for Copulas
Beschreibung
vor 19 Jahren
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.
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.
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