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

DOI10.3150/17-BEJ977zbMATH Open1415.62030MaRDI QIDQ1750101FDOQ1750101

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

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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)

Cites Work

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• Beyond simplified pair-copula constructions
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• Families of min-stable multivariate exponential and multivariate extreme value distributions
• Multivariate dependence measures and data analysis
• Extremal behavior of Archimedean copulas
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• Some Concepts of Dependence
• Multiply monotone functions and their Laplace transforms
• Multivariate Archimax copulas
• Families of Multivariate Distributions
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• Max-infinite divisibility
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• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• \(H\)-extendible copulas
• A characterization of Gumbel's family of extreme value distributions
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• Max-infinite divisibility and multivariate total positivity
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• Supremum self-decomposable random vectors

Cited In (17)

• 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
• A general construction of multivariate dependence structures with nonmonotone mappings and its applications
• Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes
• On the Mai-Wang stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant
• Exact simulation of reciprocal Archimedean copulas
• 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
• 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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