Copulas and Extremes

This lecture covers copulas, margins, and extremes, focusing on the use of unit Fréchet margins for consistency and elegance. The joint distribution is transformed to unit Fréchet variables, showing that the class of limiting multivariate distributions remains unchanged. The lecture also discusses the limiting distribution of componentwise maxima and the angular distribution of the variables. Parametric models, such as the logistic model, are explored for higher dimensions, with examples provided for bivariate data.