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Hutchinson-Lai's conjecture for bivariate extreme value copulas

✍ Scribed by Werner Hürlimann

Book ID
104302020
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
133 KB
Volume
61
Category
Article
ISSN
0167-7152

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✦ Synopsis

The class of bivariate extreme value copulas, which satisÿes the monotone regression positive dependence property or equivalently the stochastic increasing property, is considered. A variational calculus proof of the Hutchinson-Lai conjecture about Kendall's tau and Spearman's rho for this class is provided.

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