Relations between the spectral measures and dependence of MEV distributions
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| 024 | 7 | 0 | |a 10.1007/s10687-014-0203-z |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s10687-014-0203-z | ||
| 245 | 0 | 0 | |a Relations between the spectral measures and dependence of MEV distributions |h [Elektronische Daten] |c [Tiantian Mao, Taizhong Hu] |
| 520 | 3 | |a The dependence structure of a multivariate extreme value (MEV) distribution is characterized by its spectral measure. In this paper, we investigate the interconnections between the supermodular ordering of two d-dimensional MEV distributions and the convex ordering of their spectral measures. The main result reveals some insightful understanding of the dependence structures of MEV distributions. More precisely, let G and G ∗ be two MEV distributions on R d with the corresponding univariate margins equal, and let S and S ∗ be their respective spectral measures with respect to the ℓ 1-norm ∥⋅∥. Suppose that W and W ∗ are two random vectors taking values on Θ = { ∈ R + d : ∥ ∥ = 1 } ${\Theta }=\{\theta \in \Re _{+}^{d}: \|\theta \|=1\}$ according to the probability laws S/d and S ∗/d, respectively. If W is smaller than W ∗ in the convex order, then G ∗ is smaller than G in the supermodular order. Several applications of the main result are also presented. | |
| 540 | |a Springer Science+Business Media New York, 2014 | ||
| 690 | 7 | |a Multivariate extreme value distribution |2 nationallicence | |
| 690 | 7 | |a Multivariate extreme value copula |2 nationallicence | |
| 690 | 7 | |a Spectral measure |2 nationallicence | |
| 690 | 7 | |a Simplex |2 nationallicence | |
| 690 | 7 | |a Convex order |2 nationallicence | |
| 690 | 7 | |a supermodular order |2 nationallicence | |
| 690 | 7 | |a Convex transfer |2 nationallicence | |
| 700 | 1 | |a Mao |D Tiantian |u Department of Statistics and Finance, School of Management, University of Science and Technology of China, 230026, Hefei, Anhui, People's Republic of China |4 aut | |
| 700 | 1 | |a Hu |D Taizhong |u Department of Statistics and Finance, School of Management, University of Science and Technology of China, 230026, Hefei, Anhui, People's Republic of China |4 aut | |
| 773 | 0 | |t Extremes |d Springer US; http://www.springer-ny.com |g 18/1(2015-03-01), 65-84 |x 1386-1999 |q 18:1<65 |1 2015 |2 18 |o 10687 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s10687-014-0203-z |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s10687-014-0203-z |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Mao |D Tiantian |u Department of Statistics and Finance, School of Management, University of Science and Technology of China, 230026, Hefei, Anhui, People's Republic of China |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Hu |D Taizhong |u Department of Statistics and Finance, School of Management, University of Science and Technology of China, 230026, Hefei, Anhui, People's Republic of China |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Extremes |d Springer US; http://www.springer-ny.com |g 18/1(2015-03-01), 65-84 |x 1386-1999 |q 18:1<65 |1 2015 |2 18 |o 10687 | ||