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A characterization of gumbel's family of extreme value distributions

Christian Genest and Louis-Paul Rivest

Statistics & Probability Letters, 1989, vol. 8, issue 3, 207-211

Abstract: In this note, a family of multivariate extremal distributions proposed by Gumbel (1960) is characterized among those whose dependence function is an Archimedean copula. The domains of attraction of Gumbel's distributions are also determined within this class.

Keywords: Archimedean; copula; dependence; function; domain; of; attraction; extreme; value; distribution; Gumbel's; family; regular; variation (search for similar items in EconPapers)
Date: 1989
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Citations: View citations in EconPapers (28)

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