Inference for Archimax copulas

DOI10.1214/19-AOS1836zbMath1450.62046OpenAlexW3032483209MaRDI QIDQ2196206

Anne-Laure Fougères, Simon Chatelain, Johanna G. Nešlehová

Publication date: 28 August 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1590480044

zbMATH Keywords

multivariate extremesempirical processesArchimax copulassubasymptotic modeling

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to environmental and related topics (62P12) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (3)

About the exact simulation of bivariate (reciprocal) Archimax copulas ⋮ Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions ⋮ Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant

Uses Software

• R
• simsalapar

Cites Work

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