Title of article
Multivariate Archimax copulas
Author/Authors
Charpentier، نويسنده , , A. and Fougères، نويسنده , , A.-L. and Genest، نويسنده , , C. and Ne?lehov?، نويسنده , , J.G.، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2014
Pages
19
From page
118
To page
136
Abstract
A multivariate extension of the bivariate class of Archimax copulas was recently proposed by Mesiar and Jلgr (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.
Keywords
Archimedean copula , domain of attraction , Stable tail dependence function , Williamson d -transform , Multivariate extreme-value distribution
Journal title
Journal of Multivariate Analysis
Serial Year
2014
Journal title
Journal of Multivariate Analysis
Record number
1566664
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