Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
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 -