Bivariate distributions with given extreme value attractor

DOI10.1006/jmva.1999.1845zbMath0978.62043MaRDI QIDQ1969723

Christian Genest, Anne-Laure Fougères, Philippe Capéraà

Publication date: 4 June 2000

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1999.1845

zbMATH Keywords

extreme value distributions; Archimedean copulas; domains of attraction; dependence functions; bivariate threshold method

Mathematics Subject Classification ID

62H05: Characterization and structure theory for multivariate probability distributions; copulas

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

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