Multivariate Archimax copulas

Journal of Multivariate Analysis

Volumn 126, Issue , 2014, Pages 118-136

  Charpentier, A ^a   Fougeres A L ^b   Genest, C ^c   Neslehova J G ^c  

^a UNIVERSITÉ DU QUÉBEC À MONTRÉAL   (Canada)

^b UNIVERSITÉ LYON 1   (France)

^c MCGILL UNIVERSITY   (Canada)

Author keywords

Archimedean copula; Domain of attraction; Multivariate extreme value distribution; Stable tail dependence function; Williamson d transform

Indexed keywords

EID: 84893925602     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2013.12.013     Document Type: Article

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