Posts Tagged ‘ MEVT ’

Copulas and tail dependence, part 3

September 18, 2012
Copulas and tail dependence, part 3

We have seen extreme value copulas in the section where we did consider general families of copulas. In the bivariate case, an extreme value can be writtenwhere is Pickands dependence function, which is a convex function satisfyingObserve that in ...

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