Multivariate Archimax copulas

Our paper, written jointly also with Anne-Laure Fougères, Christian Genest and Johanna Nešlehová, entitled Multivariate Archimax Copulas, should appear some day in 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.

In this paper, we extend the class of Archimax copulas, introduced in dimension 2 in Bivariate Distributions with Given Extreme Value Attractor, by Philippe Capéraà, Anne-Laure Fougères and Christian Genest, inspired by some ideas mentioned in a paper published in Kybernetika a few years ago. I will try to post additional material, soon…



Cite this blog post
Arthur Charpentier (2014, January 4). Multivariate Archimax copulas. Freakonometrics. Retrieved May 28, 2024, from https://doi.org/10.58079/outc

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