Bivariate distributions with given extreme value attractor

被引：95

作者：

Capéraà, P

Fougères, AL

Genest, C

机构：

[1] Univ Laval, Ste Foy, PQ G1K 7P4, Canada

[2] Inst Natl Sci Appl, F-31077 Toulouse, France

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2000年 / 72卷 / 01期

基金：

加拿大自然科学与工程研究理事会;

关键词：

archimedean copulas; bivariate threshold method; dependence functions; domains of attraction; extreme value distributions;

D O I：

10.1006/jmva.1999.1845

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A new class of bivariate distributions is introduced and studied, which encompasses Archimedean copulas and extreme value distributions as special cases. Its dependence structure is described, its maximum and minimum attractors are determined, and an algorithm is given for generating observations from ally member of this class. It is also shown how it is possible to construct distributions in this family with a predetermined extreme value attractor. This construction is used to study via simulation the small-sample behavior of a bivariate threshold method suggested by H. Joe, R. L. Smith, and I. Weissman (1992, J. Roy. Statist. Soc. Ser. B 54, 171-183) for estimating the joint distribution of extremes of two random variates. (C) 2000 Academic Press. AMS 1991 subject classifications: 62H05, 60G70, 62G05.

引用

页码：30 / 49

页数：20

共 50 条

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