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
References: Add references at CitEc
Citations: View citations in EconPapers (28)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0167-7152(89)90123-5
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:8:y:1989:i:3:p:207-211
Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01
Access Statistics for this article
Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul
More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).