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Vestnik SamGU. Estestvenno-Nauchnaya Ser., 2011, Issue 8(89), Pages 69–85
(Mi vsgu125)
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This article is cited in 1 scientific paper (total in 1 paper)
Mathematics
Limit theorem for independence transformations copulas of Student's t-distribution
E. A. Savinov Dept. of Probability Theory and Mathematical Statistics, Samara State University, Samara, 443011, Russian Federation
(published under the terms of the Creative Commons Attribution 4.0 International License)
Abstract:
In the paper we study copulas obtained as a result of independence transformation of random vectors with Student's t-distribution. For the triangular scheme of dependent r.v. connected by such IT-copulas central limit theorem is proved. In addition, it is shown that two-dimensional IT-copula of Cauchy distribution is not associated.
Keywords:
copulas, independence transformations, limit theorems.
Received: 22.10.2011 Revised: 22.10.2011
Citation:
E. A. Savinov, “Limit theorem for independence transformations copulas of Student's t-distribution”, Vestnik Samarskogo Gosudarstvennogo Universiteta. Estestvenno-Nauchnaya Seriya, 2011, no. 8(89), 69–85
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https://www.mathnet.ru/eng/vsgu125 https://www.mathnet.ru/eng/vsgu/y2011/i8/p69
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Abstract page: | 270 | Full-text PDF : | 124 | References: | 53 | First page: | 1 |
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