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L-infinity-measure of non-exchangeability for bivariate extreme value and Archimax copulas
- 1.0343175 - ÚTIA 2011 RIV US eng J - Journal Article
Durante, F. - Mesiar, Radko
L-infinity-measure of non-exchangeability for bivariate extreme value and Archimax copulas.
Journal of Mathematical Analysis and Applications. Roč. 180, č. 3 (2010), s. 610-165. ISSN 0022-247X. E-ISSN 1096-0813
Institutional research plan: CEZ:AV0Z10750506
Keywords : copula * extreme value copula * tail dependence
Subject RIV: BA - General Mathematics
Impact factor: 1.174, year: 2010
http://library.utia.cas.cz/separaty/2010/E/mesiar-l-infty-measure of non-exchangeability for bivariate extreme value and archimax copulas.pdf
In the class of bivariate extreme value copulas, the maximal infty-degree of non-exchangeability is calculated and copulas attaining this extremal asymmetry are introduced. Similar considerations are done for extreme value copulas with a fixed upper tail dependence, and for Archimax copulas.
Permanent Link: http://hdl.handle.net/11104/0185709
Number of the records: 1