2025/06/05 by Zografos, Konstantinos
#Pickands dependence function #cumulative divergence #cumulative entropy #divergence of extreme value copula #entropy of extreme value copula #extreme value copula
paper · doi:10.57805/revstat.vi.676
Pickands dependence function is the basis of extreme value copulas which formulate the extreme dependence between random variables. Exact forms of cumulative entropy and divergence type measures, which was discussed recently in Zografos (2023), are determined on the light of bivariate extreme value copulas and they are formulated in terms of the Pickands dependence function. The results presented here provide a link between statistical information theory and copula theory.