• 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