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Modification of Pickands' dependence function for ordered bivariate extreme distribution.

Adam, Mohd. Bakri and Tawn, Jonathan A. (2011) Modification of Pickands' dependence function for ordered bivariate extreme distribution. Communications in Statistics: Theory and Methods, 40 (9). pp. 1687-1700. ISSN 0361-0926

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Abstract

We study the characteristics of the Pickands' dependence function for bivariate extreme distribution for minima, BEVM, when considering the stochastics ordering of the two variables, X < Y. The existing Pickand's dependence function terminologies and theories are modified to suit the dependence functions of extreme minimum cases. The main result is the introduction of the restricted logistic dependence function, A RL, and the restricted exponential function, V RL(x, y).

Item Type:Article
Keyword:Bivariate extreme; Pickands dependence function; Stochastics ordering.
Faculty or Institute:Faculty of Science
Publisher:Taylor&Francis
DOI Number:10.1080/03610921003637462
Altmetrics:http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1080/03610921003637462
ID Code:24836
Deposited By: Nur Farahin Ramli
Deposited On:28 Aug 2013 11:16
Last Modified:02 Oct 2015 16:09

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