Bivariate extreme-value copulas with discrete Pickands dependence measure

DOI10.1007/s10687-010-0112-8zbMath1329.62270OpenAlexW2055354956MaRDI QIDQ906612

Jan-Frederik Mai, Matthias Scherer

Publication date: 22 January 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-010-0112-8

zbMATH Keywords

dependence functionextreme-value copulaPickands dependence measure

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)

Related Items (10)

On the structure of exchangeable extreme-value copulas ⋮ \(d\)-dimensional dependence functions and Archimax copulas ⋮ On estimating extremal dependence structures by parametric spectral measures ⋮ Mass distributions of two-dimensional extreme-value copulas and related results ⋮ Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study ⋮ Dependence properties and Bayesian inference for asymmetric multivariate copulas ⋮ On the class of bivariate Archimax copulas under constraints ⋮ Validation of association ⋮ A Compendium of Copulas ⋮ Expansions for bivariate copulas

Cites Work

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• The Pickands representation of survival Marshall-Olkin copulas
• On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
• Limit theory for multivariate sample extremes
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• Analysis of Empirical Bivariate Extremal Distributions
• Nonparametric estimation of the dependence function in bivariate extreme value distributions

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