Počet záznamů: 1

L-infinity-measure of non-exchangeability for bivariate extreme value and Archimax copulas

  1. 1.
    0343175 - UTIA-B 2011 RIV US eng J - Článek v odborném periodiku
    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
    Výzkumný záměr: CEZ:AV0Z10750506
    Klíčová slova: copula * extreme value copula * tail dependence
    Kód oboru RIV: BA - Obecná matematika
    Impakt faktor: 1.174, rok: 2010
    http://library.utia.cas.cz/separaty/2010/E/mesiar-l-infty-measure of non-exchangeability for bivariate extreme value and archimax copulas.pdf 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.
    Trvalý link: http://hdl.handle.net/11104/0185709