From Inequality to Extremes and Back: A Lorenz Representation of the Pickands Dependence Function
We establish a correspondence between Lorenz curves and Pickands dependence functions, thereby reframing the construction of any bivariate extreme-value copula as an inequality problem. We discuss the conditions under which a Lorenz curve generates a closed-form Pickands model, considerably expandin...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-06-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/13/13/2047 |
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