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Hutchinson-Lai's conjecture for bivariate extreme value copulas

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Disciplines
  • Mathematics

Abstract

The class of bivariate extreme value copulas, which satisfies the monotone regression positive dependence property or equivalently the stochastic increasing property, is considered. A variational calculus proof of the Hutchinson-Lai conjecture about Kendall's tau and Spearman's rho for this class is provided.

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