Institute of Information Theory and Automation

Publication details

L-infinity-measure of non-exchangeability for bivariate extreme value and Archimax copulas

Journal Article

Durante F., Mesiar Radko

serial: Journal of Mathematical Analysis and Applications vol.180, 3 (2010), p. 610-165

research: CEZ:AV0Z10750506

keywords: copula, extreme value copula, tail dependence

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abstract (eng):

In the class of bivariate extreme value copulas, the maximal infty-degree of non-exchangeability is calculated and copulas attaining this extremal asymmetry are introduced. Similar considerations are done for extreme value copulas with a fixed upper tail dependence, and for Archimax copulas.


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Last modification: 21.12.2012
Institute of Information Theory and Automation