On all Pickands Dependence Functions whose corresponding Extreme-Value-Copulas have Spearman $\rho$ (Kendall $\tau$) identical to some value $v \in [0,1]$
Statistics Theory
2018-01-24 v1 Statistics Theory
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 () of all Pickands dependence functions whose corresponding Extreme-Value-Copulas have Spearman (Kendall ) equal to some arbitrary, fixed value . After determining compact sets containing the graphs of all Pickands dependence functions from the classes and respectively, we then show that both sets are best possible.
Keywords
Cite
@article{arxiv.1801.07665,
title = {On all Pickands Dependence Functions whose corresponding Extreme-Value-Copulas have Spearman $\rho$ (Kendall $\tau$) identical to some value $v \in [0,1]$},
author = {Noppadon Kamnitui and Christian Genest and Wolfgang Trutschnig},
journal= {arXiv preprint arXiv:1801.07665},
year = {2018}
}