On the size of the class of bivariate extreme-value copulas with a fixed value of Spearman's rho or Kendall's tau

DOI10.1016/j.jmaa.2018.11.057zbMath1418.62224OpenAlexW2902072700WikidataQ128897591 ScholiaQ128897591MaRDI QIDQ2414784

Noppadon Kamnitui, Wolfgang Trutschnig, Christian Genest, Piotr Jaworski

Publication date: 17 May 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2018.11.057

zbMATH Keywords

Kendall's tauPickands dependence functionSpearman's rhoextreme-value copula

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)

Related Items

On the exact region determined by Spearman's footrule and Gini's gamma, On the exact region determined by Spearman's rho and Spearman's footrule, On the exact regions determined by Kendall's tau and other concordance measures, Extremal behavior of diagonal and Bertino copulas, A sharp inequality for Kendall's \(\tau\) and Spearman's \(\rho\) of extreme-value copulas, On the class of bivariate Archimax copulas under constraints, On the class of truncation invariant bivariate copulas under constraints

Uses Software

• QRM
• CopulaModel

Cites Work

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