Hutchinson -- Lai's conjecture for bivariate extreme value copulas.

DOI10.1016/S0167-7152(02)00349-8zbMath1101.62340WikidataQ122986624 ScholiaQ122986624MaRDI QIDQ1424483

Werner Hürlimann

Publication date: 14 March 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Monotone regression dependenceCopulaVariational calculusKendall tauSpearman rhoBivariate extreme valueStochastic increasing dependence

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32) Miscellaneous topics in calculus of variations and optimal control (49N99)

Related Items (13)

A new algorithm based on copulas for VaR valuation with empirical calculations ⋮ A novel positive dependence property and its impact on a popular class of concordance measures ⋮ Unnamed Item ⋮ On the relationship between Pearson correlation coefficient and Kendall's tau under bivariate homogeneous shock model ⋮ On the relationship between Spearman's rho and Kendall's tau for pairs of continuous random variables ⋮ Mass distributions of two-dimensional extreme-value copulas and related results ⋮ Fitting bivariate cumulative returns with copulas ⋮ A counterexample to a conjecture of Hutchinson and Lai ⋮ A sharp inequality for Kendall's \(\tau\) and Spearman's \(\rho\) of extreme-value copulas ⋮ Convex geometry of max-stable distributions ⋮ On minimal copulas under the concordance order ⋮ Total positivity of copulas from a Markov kernel perspective ⋮ On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions

Cites Work

• Bivariate extreme statistics. I
• Point processes and multivariate extreme values
• A spectral representation for max-stable processes
• An introduction to copulas. Properties and applications
• Positive dependence orderings
• Domains of attraction of multivariate extreme value distributions
• Ordinal Measures of Association
• Bivariate extreme value theory: Models and estimation
• One-parameter families of bivariate distributions with fixed marginals
• Limit theory for multivariate sample extremes
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• Structure de dépendance des lois de valeurs extrêmes bivariées
• Some Concepts of Dependence
• Direct methods in the calculus of variations
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