Title of article :
Hutchinson-Lais conjecture for bivariate extreme value copulas
Author/Authors :
Hürlimann، Werner نويسنده ,
Issue Information :
فصلنامه با شماره پیاپی سال 2003
Pages :
-190
From page :
191
To page :
0
Abstract :
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 Kendallʹs tau and Spearmanʹs rho for this class is provided.
Keywords :
Long memory , Stochastic trend , Compound Binomial process , compound Poisson process , Mixture model
Journal title :
Statistics and Probability Letters
Serial Year :
2003
Journal title :
Statistics and Probability Letters
Record number :
65534
Link To Document :
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