A characterization of Gumbel's family of extreme value distributions

DOI10.1016/0167-7152(89)90123-5zbMath0701.62060MaRDI QIDQ914296

Christian Genest, Louis-Paul Rivest

Publication date: 1989

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(89)90123-5

zbMATH Keywords

dependence function; regular variation; extreme value distribution; Archimedean copula; domains of attraction of Gumbel distributions; Gumbel's family; multivariate extremal distributions

Mathematics Subject Classification ID

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

62E10: Characterization and structure theory of statistical distributions

Related Items

Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles, On the multivariate probability integral transformation, Archimax copulas and invariance under transformations, A revision of Kimberling's results -- with an application to max-infinite divisibility of some Archimedean copulas, Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions, Estimating correlation from dichotomized normal variables, Orthant tail dependence of multivariate extreme value distributions, Convex geometry of max-stable distributions, Tail dependence functions and vine copulas, A dependent \(F^ \alpha\)-scheme, Copula convergence theorems for tail events., Bivariate distributions with given extreme value attractor, Estimating the tail-dependence coefficient: properties and pitfalls, Extremal behavior of Archimedean copulas, Fitting High-Dimensional Copulae to Data, On the Tail Behavior of Sums of Dependent Risks

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