• 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