Archimedean copulas, exchangeability, and max-stability. (English) Zbl 0812.60022
From the author’s introduction: An exchangeable sequence of random variables is constructed with all finite-dimensional distribution functions having Archimedean copula [as defined by S. Schweizer and A. Sklar, Probabilistic metric spaces (1983; Zbl 0546.60010)]. Through a monotone transformation of this exchangeable sequence, the author obtains and characterizes the class of exchangeable sequences possessing the max-stable property as defined by L. de Haan and S. T. Rachev [Ann. Probab. 17, No. 2, 651-677 (1989; Zbl 0678.60019)]. Several parametric examples are given.
Reviewer: A.Földes (Staten Island)
MSC:
60F05 | Central limit and other weak theorems |
60G09 | Exchangeability for stochastic processes |
65L20 | Stability and convergence of numerical methods for ordinary differential equations |