Extreme value attractors for star unimodal copulas
This work examines the maximum domain of attraction for star unimodal copulas. For copulas that are star unimodal about \((a,b) \neq (1,1)\) the maximum domain is an element of a two-parameter family of copulas extending that of Cuadras-Auge. When \((a,b) = (1,1)\) the set of all possible attractors covers all maximum (extreme) values of star unimodality. Also, the archimax copulas of \textit{Ph. Capéraà, A.-L. Fougères} and \textit{C. Genest} [J. Multivariate Anal. 72, No. 1, 30-49 (2000; Zbl 0978.62043)] are studied. Many of the last copulas are not star unimodal.
scientific article; zbMATH DE number 1754841
scientific article