Spatial tail dependence and survival stability in a class of Archimedean copulas
type: Item
instance of: scholarly article
title: Spatial tail dependence and survival stability in a class of Archimedean copulas
zbMATH Open document ID: 1476.62087
DOI: 10.1155/2016/8927248
author: Diakarya Barro
author: Moumouni Diallo
author: Remi Guillaume Bagré
published in: International Journal of Mathematics and Mathematical Sciences
publication date: 2018-05-25T00:00:00Z
review text: Summary: This paper investigates properties of extensions of tail dependence of Archimax copulas to high dimensional analysis in a spatialized framework. Specifically, we propose a characterization of bivariate margins of spatial Archimax processes while spatial multivariate upper and lower tail dependence coefficients are modeled, respectively, for Archimedean copulas and Archimax ones. A property of stability is given using convex transformations of survival copulas in a spatialized Archimedean family.
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 60E05
zbMATH DE Number: 6873329
Wikidata QID: Q59124631
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2016/8927248
OpenAlex ID: W2472025082
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description: scientific article; zbMATH DE number 6873329