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
Pages
-1466
From page
1467
To page
0
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
Serial Year
2006
Journal title
MATHEMATICAL METHODS IN THE APPLIED SCIENCES
Record number
48573
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