Archimax Copulas

This week, Anne-Laure Fougères gave a talk in Besançon about Multivariate Archimax Copulas (that was a joint work with Christian Genest and Johanna Nešlehová)

The slides are great, so I asked Anne-Laure if it was possible to upload them. To go further (and look at the proofs) the paper is still available on the website of the Journal of Multivariate Analysis

A multivariate extension of the bivariate class of Archimax copulas was recently proposed by Mesiar & Jagr (2013), who asked under which conditions it holds. This paper answers their question and provides a stochastic representation of multivariate Archimax copulas. A few basic properties of these copulas are explored, including their minimum and maximum domains of attraction. Several non-trivial examples of multivariate Archimax copulas are also provided.


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