Module extreme_value 

Extreme value copulas module.

Extreme value copulas are particularly useful for modeling dependence in extreme events. They arise as the limiting distribution of componentwise maxima.

This module implements:

• Galambos copula
• Husler-Reiss copula
• Asymmetric logistic (Tawn) copula

Note: The Gumbel copula is also an extreme value copula but is implemented in the archimedean module.

Bibliography

• Gudendorf, G., & Segers, J. (2010). Extreme-value copulas. In Copula Theory and Its Applications.
• Joe, H. (2014). Dependence Modeling with Copulas. CRC Press.

Structs

GalambosCopula

Galambos copula with parameter θ ≥ 0.

HuslerReissCopula

Husler-Reiss copula with parameter θ > 0.