Spatial Tail Dependence and Survival Stability in a Class of Archimedean Copulas

Diakarya Barro, Moumouni Diallo and Remi Guillaume Bagré

International Journal of Mathematics and Mathematical Sciences, 2016, vol. 2016, 1-8

Abstract:

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.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:8927248

DOI: 10.1155/2016/8927248

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