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

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dc.abstract.enA 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.
dc.affiliationUniwersytet Warszawski
dc.contributor.authorTrutschnig, Wolfgang
dc.contributor.authorKamnitui, Noppadon
dc.contributor.authorJaworski, Piotr
dc.contributor.authorGenest, Christian
dc.date.accessioned2024-01-25T15:49:09Z
dc.date.available2024-01-25T15:49:09Z
dc.date.issued2019
dc.description.financeNie dotyczy
dc.description.number1
dc.description.volume472
dc.identifier.doi10.1016/J.JMAA.2018.11.057
dc.identifier.issn0022-247X
dc.identifier.urihttps://repozytorium.uw.edu.pl//handle/item/114868
dc.identifier.weblinkhttps://www.sciencedirect.com/science/article/pii/S0022247X18310035?via%3Dihub
dc.languageeng
dc.pbn.affiliationmathemathics
dc.relation.ispartofJournal of Mathematical Analysis and Applications
dc.relation.pages920-936
dc.rightsClosedAccess
dc.sciencecloudnosend
dc.subject.enExtreme-value copula
dc.subject.enKendall's tau
dc.subject.enPickands dependence function
dc.subject.enSpearman's rho
dc.titleOn the size of the class of bivariate extreme-value copulas with a fixed value of Spearman’s rho or Kendall’s tau
dc.typeJournalArticle
dspace.entity.typePublication