Bivariate extreme value distributions based on polynomial dependence functions

DOI10.1002/mma.525zbMath1095.62061OpenAlexW2035596283MaRDI QIDQ5486377

Claudia Klüppelberg, Angelika May

Publication date: 6 September 2006

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.525

zbMATH Keywords

dependence functionbivariate extreme value distributionsdependence measurePickands' representation theorem

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32) Characteristic functions; other transforms (60E10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (6)

Consistency of Bayesian inference for multivariate max-stable distributions ⋮ Inference for asymptotically independent samples of extremes ⋮ Dense classes of multivariate extreme value distributions ⋮ Robust bounds in multivariate extremes ⋮ \(L^{\infty }\)-measure of non-exchangeability for bivariate extreme value and Archimax copulas ⋮ Polynomial Pickands functions

Cites Work

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