On the structure of exchangeable extreme-value copulas
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DOI: 10.1016/j.jmva.2020.104670
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References listed on IDEAS
- Mai, Jan-Frederik & Scherer, Matthias & Shenkman, Natalia, 2013. "Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 457-480.
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- Ressel, Paul, 2013. "Homogeneous distributions—And a spectral representation of classical mean values and stable tail dependence functions," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 246-256.
- Gnedin, Alexander V., 1995. "On a class of exchangeable sequences," Statistics & Probability Letters, Elsevier, vol. 25(4), pages 351-355, December.
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Cited by:
- Mai Jan-Frederik, 2022. "About the exact simulation of bivariate (reciprocal) Archimax copulas," Dependence Modeling, De Gruyter, vol. 10(1), pages 29-47, January.
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Keywords
Conditionally iid; Exchangeability; Extendibility; Extreme-value copula; Stable tail dependence function;All these keywords.
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