Unveiling Extreme-Value Copulas: Revolutionizing Dependence Modeling for Rare Events
Extreme-value copulas are models that help us understand how rare events are related to each other. They are useful for studying extreme situations and can also be used to look at general positive relationships between events. This survey looks at the latest ways of using extreme-value copulas to study these connections. It covers both the mathematical and statistical aspects of this type of modeling, whether we know the exact form of the relationship or not.