The class of multivariate max-id copulas with \(\ell_{1}\)-norm symmetric exponent measure

DOI10.3150/17-BEJ977zbMath1415.62030MaRDI QIDQ1750101

Louis-Paul Rivest, Johanna G. Nešlehová, Christian Genest

Publication date: 18 May 2018

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1524038769

zbMATH Keywords

Laplace transformcompletely monotone functionClayton copulaexponent measure\(\ell_{1}\)-norm symmetric max-id distributionsGalambos copula

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)

Related Items (15)

About the exact simulation of bivariate (reciprocal) Archimax copulas ⋮ Copulas, stable tail dependence functions, and multivariate monotonicity ⋮ Model robust inference with two-stage maximum likelihood estimation for copulas ⋮ Asymptotic properties of extremal Markov processes driven by Kendall convolution ⋮ How exceptional is the extremal Kendall and Kendall-type convolution ⋮ Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes ⋮ Copula modeling from Abe Sklar to the present day ⋮ The infinite extendibility problem for exchangeable real-valued random vectors ⋮ Exchangeable random partitions from max-infinitely-divisible distributions ⋮ Extreme-value copulas associated with the expected scaled maximum of independent random variables ⋮ Exact simulation of reciprocal Archimedean copulas ⋮ Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant ⋮ Extremes and regular variation ⋮ Asymptotic independence and support detection techniques for heavy-tailed multivariate data ⋮ Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Factor copula models for multivariate data
• Beyond simplified pair-copula constructions
• \(H\)-extendible copulas
• Multiply monotone functions and their Laplace transforms
• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• A characterization of Gumbel's family of extreme value distributions
• Tails of multivariate Archimedean copulas
• Supremum self-decomposable random vectors
• Families of min-stable multivariate exponential and multivariate extreme value distributions
• Multivariate dependence measures and data analysis
• Multivariate Archimax copulas
• Extremal behavior of Archimedean copulas
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Max-infinite divisibility
• Max-infinite divisibility and multivariate total positivity
• Families of Multivariate Distributions
• Some Concepts of Dependence

This page was built for publication: The class of multivariate max-id copulas with \(\ell_{1}\)-norm symmetric exponent measure