Gaussian approximation of conditional elliptical copulas

  • Authors:

  • Enkelejd Hashorva;Piotr Jaworski

  • Affiliations:

  • Department of Actuarial Science, University of Lausanne, Lausanne, Switzerland;Institute of Mathematics, University of Warsaw, Warszawa, Poland

  • Venue:
  • Journal of Multivariate Analysis
  • Year:
  • 2012

Quantified Score

Hi-index 0.00

Visualization

Abstract

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.