Inference for Archimax copulas
Extreme value theory; extremal stochastic processes (60G70) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12)
Consider a \(d\)-dimensional Archimax copula \(C\) with the representation \[C_{\psi,\ell}\left(\mathbf{u} \right) = \psi\left[\ell\left\lbrace \phi\left(u_{1} \right),\dots,\phi\left(u_{d} \right) \right\rbrace \right], \] where \(\ell: \mathbb{R}_{+}^{d} \to \mathbb{R}_{+}\) is a \(d\)-variate stable tail dependence function and \(\psi : \left[ 0,\infty\right) \to \left[0,1 \right] \) is an Archimedean generator with inverse \(\phi\). The class of Archimax copulas includes both Archimedean and extreme-value copulas. From authors' summary: ``This article develops semiparametric inference for Archimax copulas: a nonparametric estimator of \(\ell\) and a moment-based estimator of \(\psi\) assuming the latter belongs to a parametric family. Conditions under which \(\psi\) and \(\ell\) are identifiable are derived. The asymptotic behavior of the estimators is then established under broad regularity conditions; performance in small samples is assessed through a comprehensive simulation study. The Archimax copula model with the Clayton generator is then used to analyze monthly rainfall maxima at three stations in French Brittany. The model is seen to fit the data very well, both in the lower and in the upper tail. The nonparametric estimator of \(\ell\) reveals asymmetric extremal dependence between the stations, which reflects heavy precipitation patterns in the area. Technical proofs, simulation results and \(\mathsf{R}\) code are provided in the Online Supplement.
- d-dimensional dependence functions and Archimax copulas
- A characterization of absolutely monotonic (Δ) functions
- A continuous updating weighted least squares estimator of tail dependence in high dimensions
- A nonparametric estimation procedure for bivariate extreme value copulas
- An introduction to copulas.
- Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
- Bias correction in multivariate extremes
- Bivariate distributions with given extreme value attractor
- Dense classes of multivariate extreme value distributions
- Dependence measures for extreme value analyses
- Distribution and dependence-function estimation for bivariate extreme-value distributions.
- Extremal attractors of Liouville copulas
- Extremal behavior of Archimedean copulas
- Extreme value theory. An introduction.
- Homogeneous distributions -- and a spectral representation of classical mean values and stable tail dependence functions
- scientific article; zbMATH DE number 5973798 (Why is no real title available?)
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 3820920 (Why is no real title available?)
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 590293 (Why is no real title available?)
- scientific article; zbMATH DE number 1894337 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- Large-sample tests of extreme-value dependence for multivariate copulas
- Modelling across extremal dependence classes
- Multivariate Archimax copulas
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Nonparametric estimation of an extreme-value copula in arbitrary dimensions
- Nonparametric estimation of multivariate extreme-value copulas
- Nonparametric estimation of the dependence function for a multivariate extreme value distribution
- On Kendall's process
- On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
- ON THE METHOD OF PAIRED COMPARISONS
- Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
- Rank-based inference for bivariate extreme-value copulas
- Sampling Archimedean copulas
- Semiparametric Dynamic Max-Copula Model for Multivariate Time Series
- Statistics for near independence in multivariate extreme values
- Tails of multivariate Archimedean copulas
- Weak convergence and empirical processes. With applications to statistics
- Weak convergence of the empirical copula process with respect to weighted metrics
- Extremal attractors of Liouville copulas
- Hierarchical Archimax copulas
- Estimation of hierarchical Archimedean copulas as a shortest path problem
- Inference in multivariate Archimedean copula models
- When a copula is Archimax
- Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant
- On the class of bivariate Archimax copulas under constraints
- About the exact simulation of bivariate (reciprocal) Archimax copulas
- Multivariate Archimax copulas
- d-dimensional dependence functions and Archimax copulas
- R package to handle Archimax or any user-defined continuous copula construction: \texttt{acopula}
- Estimating Archimedean copulas in high dimensions
- scientific article; zbMATH DE number 5973798 (Why is no real title available?)
- Archimax copulas and invariance under transformations
- Comments on: Inference in multivariate Archimedean copula models
- Comments on: Inference in multivariate Archimedean copula models
- Comments on: Inference in multivariate Archimedean copula models
- Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions
- Copulae: an overview and recent developments
- Non-parametric estimation techniques of factor copula model using proxies
- The empirical copula process in high dimensions: Stute's representation and applications
- Identifying regions of concomitant compound precipitation and wind speed extremes over Europe
- Clustered Archimax copulas
- Inference on Archimedean copulas using mixtures of Pólya trees
This page was built for publication: Inference for Archimax copulas
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2196206)
