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Some alternative bivariate Gumbel models

✍ Scribed by Barry C. Arnold; Enrique Castillo; José Maria Sarabia

Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
407 KB
Volume
9
Category
Article
ISSN
1180-4009

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✦ Synopsis

For modelling bivariate extremes, the classical bivariate Gumbel models are limited in their ¯exibility for ®tting real world data sets. Alternative models, derived via conditional speci®cation, are introduced in the current paper. A key dierence between the classical models and the conditional speci®cation models is to be found in the sign of the correlation between the variables in the models: non-negative for classical models, non-positive for conditionally speci®ed models.

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