On the size of the class of bivariate extreme-value copulas with a fixed value of Spearman's rho or Kendall's tau (Q2414784)
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scientific article; zbMATH DE number 7056461
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| English | On the size of the class of bivariate extreme-value copulas with a fixed value of Spearman's rho or Kendall's tau |
scientific article; zbMATH DE number 7056461 |
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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 (English)
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17 May 2019
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Copula modeling is especially important in assessing the joint probability of rare events causing the possible catastrophic outcomes. In this paper a bivariate extreme-value copula is characterized by a convex function of one variable.
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extreme-value copula
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Kendall's tau
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Pickands dependence function
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Spearman's rho
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0.7865068912506104
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0.7767756581306458
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0.7748981714248657
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0.7734026908874512
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