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Extreme Value Theory and Archimedean Copulas
Authors:Mario V Wüthrich
Abstract:Using the language of copulas, we generalize the famous Fisher-Tippett Theorem of extreme value theory to the case with sequences of dependent random variables. The dependence structure is modelled using archimedean copulas. This generalization enables to study the behaviour of the maxima of dependent random sequences.
Keywords:archimedean copula  dependent risks  extreme value theory  maximum domain of attraction  Fisher-Tippett Theorem
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