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Kilani Ghoudi Abdelhaq Khoudraji Et Louis-Paul Rivest 《Revue canadienne de statistique》1998,26(1):187-197
Let (X, Y) be a bivariate random vector whose distribution function H(x, y) belongs to the class of bivariate extreme-value distributions. If F1 and F2 are the marginals of X and Y, then H(x, y) = C{F1(x),F2(y)}, where C is a bivariate extreme-value dependence function. This paper gives the joint distribution of the random variables Z = {log F1(X)}/{log F1(X)F2(Y)} and W = C{F1{(X),F2(Y)}. Using this distribution, an algorithm to generate random variables having bivariate extreme-value distribution is présentés. Furthermore, it is shown that for any bivariate extreme-value dependence function C, the distribution of the random variable W = C{F1(X),F2(Y)} belongs to a monoparametric family of distributions. This property is used to derive goodness-of-fit statistics to determine whether a copula belongs to an extreme-value family. 相似文献
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