Convergence of Archimedean Copulas

The paper on Convergence of Archimedean Copulas, with Johan Segers, just appeared, in Statistics and Probability Letters.

Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions. No extra differentiability conditions on the generators are needed.


OpenEdition suggests that you cite this post as follows:
Arthur Charpentier (March 5, 2008). Convergence of Archimedean Copulas. Freakonometrics. Retrieved July 12, 2024 from https://doi.org/10.58079/ou8r


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