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Hutchinson-Lai's conjecture for bivariate extreme value copulas

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  • Hürlimann, Werner

Abstract

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.

Suggested Citation

  • Hürlimann, Werner, 2003. "Hutchinson-Lai's conjecture for bivariate extreme value copulas," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 191-198, January.
    • Handle: RePEc:eee:stapro:v:61:y:2003:i:2:p:191-198
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    References listed on IDEAS

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    1. Deheuvels, Paul, 1983. "Point processes and multivariate extreme values," Journal of Multivariate Analysis, Elsevier, vol. 13(2), pages 257-272, June.
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