Abstract:
In this study, we consider the situation where contraints are made on the domains of two random variables whose joint copula is an extreme value model. We introduce a new measure which characterize these conditional dependence. We proved that every bivariate extreme value copulas is totally characterized by a conditional dependence function. Every two-dimensional distribution is also shown to be max-infinite divisible under a restriction on the new measure. The average and median values of the measure have been computed for the main bivariate families of parametric extreme value copulas.
S. Dossou-Gbete, B. Some and D. Barro, 2009. Modelling the Dependence of Parametric Bivariate Extreme Value Copulas. Asian Journal of Mathematics & Statistics, 2: 41-54.
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