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.
Originalsprache | Englisch |
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Seiten (von - bis) | 118-136 |
Seitenumfang | 19 |
Fachzeitschrift | Journal of Multivariate Analysis |
Jahrgang | 126 |
DOIs | |
Publikationsstatus | Veröffentlicht - Apr. 2014 |
Extern publiziert | Ja |
Bibliographische Notiz
Funding Information:Most of this work was carried out while Genest and Nešlehová were visiting the Université Claude-Bernard in Lyon; they are grateful to the members of the Institut Camille Jordan for their hospitality. This research was supported by the LABEX MILYON ( ANR–10–LABX–0070 ) of Université de Lyon, within the program “Investissements d’avenir” (ANR–11–IDEX–0007) operated by the Agence nationale pour la recherche. Additional funding for this work was provided by the Canada Research Chairs Program, the Natural Sciences and Engineering Research Council of Canada , and the Fonds de recherche du Québec–Nature et technologies .