Spatial Tail Dependence and Survival Stability in a Class of Archimedean Copulas
| Autor: | Diakarya Barro, Moumouni Diallo, Remi Guillaume Bagré |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2016 |
| Předmět: | |
| Zdroj: | International Journal of Mathematics and Mathematical Sciences, Vol 2016 (2016) |
| Druh dokumentu: | article |
| ISSN: | 0161-1712 1687-0425 |
| DOI: | 10.1155/2016/8927248 |
| Popis: | This paper investigates properties of extensions of tail dependence of Archimax copulas to high dimensional analysis in a spatialized framework. Specifically, we propose a characterization of bivariate margins of spatial Archimax processes while spatial multivariate upper and lower tail dependence coefficients are modeled, respectively, for Archimedean copulas and Archimax ones. A property of stability is given using convex transformations of survival copulas in a spatialized Archimedean family. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
|