\(L^{\infty }\)-measure of non-exchangeability for bivariate extreme value and Archimax copulas

DOI10.1016/j.jmaa.2010.04.005zbMath1191.62094OpenAlexW2076913984MaRDI QIDQ984711

Radko Mesiar, Fabrizio Durante

Publication date: 20 July 2010

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.2010.04.005

zbMATH Keywords

copulaexchangeabilityextreme value distributiontail dependence

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Exchangeability for stochastic processes (60G09)

Related Items (9)

Copula-based measures of reflection and permutation asymmetry and statistical tests ⋮ Measures of radial asymmetry for bivariate random vectors ⋮ Zero-linear copulas ⋮ Unnamed Item ⋮ Best-possible bounds on the set of copulas with given degree of non-exchangeability ⋮ A vague multidimensional dependency structure: conditional versus unconditional fuzzy copula models ⋮ Non-exchangeability of copulas arising from shock models ⋮ Assessing bivariate tail non-exchangeable dependence ⋮ Relation between non-exchangeability and measures of concordance of copulas

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Measures of non-exchangeability for bivariate random vectors
• An introduction to copulas.
• Rank-based inference for bivariate extreme-value copulas
• Extremes of nonexchangeability
• Construction of asymmetric multivariate copulas
• High risk scenarios and extremes. A geometric approach
• Lévy-frailty copulas
• Distribution and dependence-function estimation for bivariate extreme-value distributions.
• Estimation of a bivariate extreme value distribution
• Bivariate distributions with given extreme value attractor
• Non-exchangeability of negatively dependent random variables
• Copula and semicopula transforms
• Bivariate extreme value theory: Models and estimation
• Multivariate extreme‐value distributions with applications to environmental data
• A nonparametric estimation procedure for bivariate extreme value copulas
• Structure de dépendance des lois de valeurs extrêmes bivariées
• Statistical Methods for Multivariate Extremes: An Application to Structural Design
• Bivariate extreme value distributions based on polynomial dependence functions
• A Multivariate Exponential Distribution

This page was built for publication: \(L^{\infty }\)-measure of non-exchangeability for bivariate extreme value and Archimax copulas