Hutchinson-Lai's conjecture for bivariate extreme value copulas

The class of bivariate extreme value copulas, which satisfies the monotone regression positive dependence property or equivalently the stochastic increasing property, is considered. A variational calculus proof of the Hutchinson-Lai conjecture about Kendall's tau and Spearman's rho for this class is provided.

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Year of publication:	2003
Authors:	Hürlimann, Werner
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 61.2003, 2, p. 191-198
Publisher:	Elsevier
Keywords:	Copula Monotone regression dependence Stochastic increasing dependence Kendall tau Spearman rho Bivariate extreme value Variational calculus

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223836