Article: article from journal or magazin.
Gaussian approximation of conditional elliptical copulas
Journal of Multivariate Analysis
In this paper the limits of elliptical copulas under univariate conditioning are characterized, allowing for the conditioning random variable to have a rapidly varying tail. Further, we investigate the quality of approximation by imposing some weak asymptotic restrictions.
Elliptical copula, Conditional copula, Univariate conditioning, Truncation of the first variable, Gaussian approximation, Gumbel max-domain of attraction
Web of science
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