Multivariate Archimax copulas

Arthur Charpentier, A.-L. Fougères, C. Genest and J.G. Nešlehová

Journal of Multivariate Analysis, 2014, vol. 126, issue C, 118-136

Abstract: A multivariate extension of the bivariate class of Archimax copulas was recently proposed by Mesiar and Jágr (2013), who asked under which conditions it holds. This paper answers their question and provides a stochastic representation of multivariate Archimax copulas. A few basic properties of these copulas are explored, including their minimum and maximum domains of attraction. Several non-trivial examples of multivariate Archimax copulas are also provided.

Keywords: Archimedean copula; Domain of attraction; Multivariate extreme-value distribution; Stable tail dependence function; Williamson d-transform (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (18)

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DOI: 10.1016/j.jmva.2013.12.013

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