On the copula for multivariate extreme value distributions

DOI10.1214/10-BJPS135zbMath1239.62062arXiv0908.2144OpenAlexW2963666302MaRDI QIDQ424823

Glauco Valle, Marco Aurélio Sanfins

Publication date: 5 June 2012

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.2144

zbMATH Keywords

order statisticsindependent random variables

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)

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Cites Work

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• Extremes and related properties of random sequences and processes
• On the relationship between Spearman's rho and Kendall's tau for pairs of continuous random variables
• A note on the relationship between Spearman's \(\rho \) and Kendall's \(\tau \) for extreme order statistics
• A method to obtain new copulas from a given one

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