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Copula Modeling for Extremes

Extremes and Environmental Risk

  1. Christian Genest,
  2. Johanna Nešlehová

Published Online: 15 JAN 2013

DOI: 10.1002/9780470057339.vnn018

Encyclopedia of Environmetrics

Encyclopedia of Environmetrics

How to Cite

Genest, C. and Nešlehová, J. 2013. Copula Modeling for Extremes. Encyclopedia of Environmetrics. 2.

Author Information

  1. McGill University, Montréal, Québec, Canada

Publication History

  1. Published Online: 15 JAN 2013

Abstract

This article introduces extreme-value copulas, reviews models from this class, and describes their main properties. The associated rank-based estimation procedures and model validation techniques are also presented.

Keywords:

  • domain of attraction;
  • empirical copula;
  • extreme value;
  • goodness-of-fit test;
  • Kendall distribution;
  • Kendall's tau;
  • Pickands dependence function;
  • rank-based inference;
  • Sklar's representation;
  • Spearman's rho;
  • tail dependence coefficient