Title of article :
Bivariate extreme value distributions based on polynomial dependence functions
Author/Authors :
Kluppelberg، Claudia نويسنده , , May، Angelika نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2006
Abstract :
In this paper, we are concerned with bivariate differentiable models for joint extremes for dependent data sets. This question is often raised in hydrology and economics when the risk driven by two (or more) factors has to be quantified. Here we give a full characterization of polynomial models by means of their dependence function and dependence measure.
Keywords :
bivariate extreme value distributions , dependence function , dependence measurePickands representation theorem
Journal title :
MATHEMATICAL METHODS IN THE APPLIED SCIENCES
Journal title :
MATHEMATICAL METHODS IN THE APPLIED SCIENCES