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Titel:

Bivariate extreme-value copulas with discrete Pickands dependence measure

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Mai, J.; Scherer, M.
Nicht-TUM Koautoren:
nein
Kooperation:
-
Abstract:
It is shown how bivariate extreme-value copulas with discrete Pickands measure can be represented as the geometric mean of bivariate extreme-value copulas whose Pickands measure has at most two atoms. Arbitrary bivariate extreme-value copulas can thus be represented as the limit of this construction, when the number of involved basis copulas tends to infinity. Besides the theoretical value of such a representation, properties of the represented copula can be deduced from properties of the involv...     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Extremes
Jahr:
2011
Band / Volume:
14
Heft / Issue:
4
Seitenangaben Beitrag:
311-324
Reviewed:
ja
Sprache:
en
Status:
Verlagsversion / published
Semester:
SS 02
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
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