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
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