Mass distributions of two-dimensional extreme-value copulas and related results

DOI10.1007/s10687-016-0249-1zbMath1359.62217OpenAlexW2327285143MaRDI QIDQ508711

Manuela Schreyer, Wolfgang Trutschnig, Juan Fernández-Sánchez

Publication date: 8 February 2017

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-016-0249-1

zbMATH Keywords

extreme pointssingular measureMarkov kernelPickands dependence functionextreme-value copula

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32) Probability distributions: general theory (60E05) Singular functions, Cantor functions, functions with other special properties (26A30)

Related Items (16)

A new extreme value copula and new families of univariate distributions based on Freund's exponential model ⋮ About the exact simulation of bivariate (reciprocal) Archimax copulas ⋮ Maximum asymmetry of copulas revisited ⋮ On the size of the class of bivariate extreme-value copulas with a fixed value of Spearman's rho or Kendall's tau ⋮ Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines ⋮ A novel positive dependence property and its impact on a popular class of concordance measures ⋮ On the structure of exchangeable extreme-value copulas ⋮ Extreme biconic copulas: characterization, properties and extensions to aggregation functions ⋮ On some properties of reflected maxmin copulas ⋮ On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation ⋮ Dependence properties and Bayesian inference for asymmetric multivariate copulas ⋮ A note on bivariate Archimax copulas ⋮ A sharp inequality for Kendall's \(\tau\) and Spearman's \(\rho\) of extreme-value copulas ⋮ Markov product invariance in classes of bivariate copulas characterized by univariate functions ⋮ Copula-based Markov process ⋮ Total positivity of copulas from a Markov kernel perspective

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