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Modification of Pickands' dependence function for ordered bivariate extreme value distribution

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Modification of Pickands' dependence function for ordered bivariate extreme value distribution. / Adam, M. Bakri; Tawn, Jonathan Angus.
In: Communications in Statistics - Theory and Methods, Vol. 40, No. 9, 2011, p. 1687-1700.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Harvard

Adam, MB & Tawn, JA 2011, 'Modification of Pickands' dependence function for ordered bivariate extreme value distribution', Communications in Statistics - Theory and Methods, vol. 40, no. 9, pp. 1687-1700. https://doi.org/10.1080/03610921003637462

APA

Vancouver

Adam MB, Tawn JA. Modification of Pickands' dependence function for ordered bivariate extreme value distribution. Communications in Statistics - Theory and Methods. 2011;40(9):1687-1700. Epub 2011 Mar 16. doi: 10.1080/03610921003637462

Author

Adam, M. Bakri ; Tawn, Jonathan Angus. / Modification of Pickands' dependence function for ordered bivariate extreme value distribution. In: Communications in Statistics - Theory and Methods. 2011 ; Vol. 40, No. 9. pp. 1687-1700.

Bibtex

@article{b6046741d52b42efab139719e826b1cf,
title = "Modification of Pickands' dependence function for ordered bivariate extreme value distribution",
abstract = "We study the characteristics of the Pickands' dependence function for bivariate extreme distribution for minima, BEVM, when considering the stochastics ordering of the two variables, X < Y. The existing Pickand's dependence function terminologies and theories are modified to suit the dependence functions of extreme minimum cases. The main result is the introduction of the restricted logistic dependence function, A RL , and the restricted exponential function, V RL (x, y).",
keywords = "Bivariate extreme, Pickands dependence function, Stochastics ordering, Primary 60G70, Secondary 62E10, 62G30, 62G32, 62P99",
author = "Adam, {M. Bakri} and Tawn, {Jonathan Angus}",
year = "2011",
doi = "10.1080/03610921003637462",
language = "English",
volume = "40",
pages = "1687--1700",
journal = "Communications in Statistics - Theory and Methods",
issn = "0361-0926",
publisher = "Taylor and Francis Ltd.",
number = "9",

}

RIS

TY - JOUR

T1 - Modification of Pickands' dependence function for ordered bivariate extreme value distribution

AU - Adam, M. Bakri

AU - Tawn, Jonathan Angus

PY - 2011

Y1 - 2011

N2 - We study the characteristics of the Pickands' dependence function for bivariate extreme distribution for minima, BEVM, when considering the stochastics ordering of the two variables, X < Y. The existing Pickand's dependence function terminologies and theories are modified to suit the dependence functions of extreme minimum cases. The main result is the introduction of the restricted logistic dependence function, A RL , and the restricted exponential function, V RL (x, y).

AB - We study the characteristics of the Pickands' dependence function for bivariate extreme distribution for minima, BEVM, when considering the stochastics ordering of the two variables, X < Y. The existing Pickand's dependence function terminologies and theories are modified to suit the dependence functions of extreme minimum cases. The main result is the introduction of the restricted logistic dependence function, A RL , and the restricted exponential function, V RL (x, y).

KW - Bivariate extreme

KW - Pickands dependence function

KW - Stochastics ordering

KW - Primary 60G70

KW - Secondary 62E10

KW - 62G30

KW - 62G32

KW - 62P99

U2 - 10.1080/03610921003637462

DO - 10.1080/03610921003637462

M3 - Journal article

VL - 40

SP - 1687

EP - 1700

JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

SN - 0361-0926

IS - 9

ER -