On all Pickands Dependence Functions whose corresponding Extreme-Value-Copulas have Spearman rho (Kendall τ) identical to some value v in [0,1]
classification
🧮 math.ST
stat.TH
keywords
dependencemathcalfunctionspickandscorrespondingextreme-value-copulaskendallomega
read the original abstract
We answer an open question posed by the second author at the Salzburg workshop on Dependence Models and Copulas in 2016 concerning the size of the family $\mathcal{A}^\rho_v$ ($\mathcal{A}^\tau_v$) of all Pickands dependence functions $A$ whose corresponding Extreme-Value-Copulas have Spearman $\rho$ (Kendall $\tau$) equal to some arbitrary, fixed value $v \in [0,1]$. After determining compact sets $\Omega^\rho_v, \Omega^\tau_v \subseteq [0,1] \times [\frac{1}{2},1]$ containing the graphs of all Pickands dependence functions from the classes $\mathcal{A}^\rho_v$ and $\mathcal{A}^\tau_v$ respectively, we then show that both sets are best possible.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.