Multivariate Archimax copulas
DOI10.1016/j.jmva.2013.12.013zbMath1349.62173MaRDI QIDQ2438634
Arthur Charpentier, Anne-Laure Fougères, Christian Genest, Johanna G. Nešlehová
Publication date: 6 March 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2013.12.013
domain of attraction; Archimedean copula; stable tail dependence function; multivariate extreme-value distribution; Williamson \(d\)-transform
62H05: Characterization and structure theory for multivariate probability distributions; copulas
60G70: Extreme value theory; extremal stochastic processes
62G32: Statistics of extreme values; tail inference
60E10: Characteristic functions; other transforms
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Cites Work
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