Multivariate Archimax copulas

DOI10.1016/j.jmva.2013.12.013zbMath1349.62173OpenAlexW2059296920MaRDI QIDQ2438634

Arthur Charpentier, Anne-Laure Fougères, Christian Genest, Johanna G. Nešlehová

Publication date: 6 March 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.12.013

zbMATH Keywords

domain of attractionArchimedean copulastable tail dependence functionmultivariate extreme-value distributionWilliamson \(d\)-transform

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Characteristic functions; other transforms (60E10)

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Uses Software

• QRM

Cites Work

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