I will be back in Guanajuato, Mexico, this week, to visit Victor Rivero. And I will give a talk at the Centro de Investigacion en Matematicas (CIMAT) this Wednesday on “Multivariate Archimax Copulas“. The slides are already online.
(there is a lot of material on copulas, as requested, to provide an introduction for students not familiar with this concept).
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…