The class of multivariate max-id copulas with _1-norm symmetric exponent measure

DOI10.3150/17-BEJ977MaRDI QIDQ1750101zbMATH OpenFDO

Authors Christian Genest, Johanna Nešlehová, Louis-Paul Rivest

Publication date 18 May 2018

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.bj/1524038769

zbMATH Keywords

Laplace transformcompletely monotone functionClayton copulaexponent measure\(\ell_{1}\)-norm symmetric max-id distributionsGalambos copula

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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• Extremal behavior of Archimedean copulas
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• Families of min-stable multivariate exponential and multivariate extreme value distributions
• Max-infinite divisibility
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• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
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• Some Concepts of Dependence
• Supremum self-decomposable random vectors
• Tails of multivariate Archimedean copulas
• \(H\)-extendible copulas

Cited in

(18)

• The infinite extendibility problem for exchangeable real-valued random vectors
• Exchangeable random partitions from max-infinitely-divisible distributions
• Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences
• Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes
• A general construction of multivariate dependence structures with nonmonotone mappings and its applications
• Exact simulation of reciprocal Archimedean copulas
• On the Mai-Wang stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant
• Asymptotic properties of extremal Markov processes driven by Kendall convolution
• About the exact simulation of bivariate (reciprocal) Archimax copulas
• Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant
• Extreme-value copulas associated with the expected scaled maximum of independent random variables
• How exceptional is the extremal Kendall and Kendall-type convolution
• Copulas, stable tail dependence functions, and multivariate monotonicity
• Copula modeling from Abe Sklar to the present day
• A note on the Galambos copula and its associated Berstein function
• Asymptotic independence and support detection techniques for heavy-tailed multivariate data
• Extremes and regular variation
• Model robust inference with two-stage maximum likelihood estimation for copulas

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