Hutchinson-Lai's conjecture for bivariate extreme value copulas

被引：26

作者：

Hürlimann, W ^{[1
]}

机构：

[1] Inst Actuariaat Econ, CH-8409 Winterthur, Switzerland

来源：

STATISTICS & PROBABILITY LETTERS | 2003年 / 61卷 / 02期

关键词：

copula; monotone regression dependence; stochastic increasing dependence; Kendall tau; Spearman rho; bivariate extreme value; variational calculus;

D O I：

10.1016/S0167-7152(02)00349-8

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The class of bivariate extreme value copulas, which satisfies the monotone regression positive dependence property or equivalently the stochastic increasing property, is considered. A variational calculus proof of the Hutchinson-Lai conjecture about Kendall's tau and Spearman's rho for this class is provided. (C) 2003 Elsevier Science B.V. All rights reserved.

引用

页码：191 / 198

页数：8

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