On the Interrelation between Dependence Coefficients of Extreme Value Copulas

zbMath1436.62187arXiv1812.03766MaRDI QIDQ5213241

Alexey V. Lebedev

Publication date: 31 January 2020

Full work available at URL: https://arxiv.org/abs/1812.03766

zbMATH Keywords

upper and lower boundsdependence coefficientsbivariate extreme value copula

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Reliability and life testing (62N05)

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