Spatial tail dependence and survival stability in a class of Archimedean copulas (Q1751493)
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English | Spatial tail dependence and survival stability in a class of Archimedean copulas |
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Spatial tail dependence and survival stability in a class of Archimedean copulas (English)
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25 May 2018
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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.
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