Second-order expansions for maxima of dynamic bivariate normal copulas

Rui Wang; Xin Liao; Zuoxiang Peng

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arXiv · 1702.01234

Second-order expansions for maxima of dynamic bivariate normal copulas

Rui Wang·Xin Liao·Zuoxiang Peng

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Abstract

In this paper, we establish the second-order distributional expansions of normalized maxima of n independent observations, where the ith observation follows from a normal copula with its correlation coefficient being a monotone continuous function. These expansions can be used to deduce the convergence rates of distributions of normalized maxima to their limits.

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Rui Wang, Xin Liao, Zuoxiang Peng. 2017-02-04. Second-order expansions for maxima of dynamic bivariate normal copulas. https://arxiv.org/abs/1702.01234

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