On the size of the class of bivariate extreme-value copulas with a fixed value of Spearman's rho or Kendall's tau

被引：16
|
作者：
Kamnitui, N. [1 ]
Genest, C. [2 ]
Jaworski, P. [3 ]
Trutschnig, W. [1 ]
机构：
[1] Univ Salzburg, Fachbereich Math, Salzburg, Austria
[2] McGill Univ, Dept Math & Stat, Montreal, PQ, Canada
[3] Uniwersytet Warszawski, Inst Matemat, Warsaw, Poland
来源：
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2019年 / 472卷 / 01期
基金：
加拿大自然科学与工程研究理事会;
关键词：
Extreme-value copula; Kendall's tau; Pickands dependence function; Spearman's rho;
D O I：
10.1016/j.jmaa.2018.11.057
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A bivariate extreme-value copula is characterized by a function of one variable, called a Pickands dependence function, which is convex and comprised between two bounds. The authors identify the smallest possible compact set containing the graph of all Pickands dependence functions whose corresponding bivariate extreme-value copula has a fixed value of Spearman's rho or Kendall's tau. The consequences of this result for statistical modeling are outlined. (C) 2018 The Author(s). Published by Elsevier Inc.
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页码：920 / 936
页数：17
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