A representation of bivariate extreme value distributions via norms on R^2

DOI10.1007/S10687-006-0010-2MaRDI QIDQ2463698zbMATH OpenOpenAlexFDO

Authors Michael Falk

Publication date 16 December 2007

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-006-0010-2

zbMATH Keywords

convex setcopulaPickands dependence function

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70)

Review text

Let \(H_1\) and \(H_2\) be arbitrary univariate extreme value distributions (EVD), let \(\| \cdot\| \) be any norm in \(R^2\). Consider \[ H(s,t)=\exp(-\| (\log(H_1(s)),\log(H_2(t)))\| ). \] Then \(H\) is a bivariate EVD with margins \(H_i\) iff \(\| \cdot\| \) satisfies the condition: \(\forall\;z\in[0,1]\), \(\max(z,1-z)\leq\| (z,1-z)\| \leq 1\).

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(4)

• Convex geometry of max-stable distributions
• The space of \(D\)-norms revisited
• Max-stable random sup-measures with comonotonic tail dependence
• Lipschitz continuity of copulas w.r.t. \(L_p\)-norms

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