Volume no :43, Issue no: 1, January (2017)

Journal of Mathematical Sciences: Advances and Applications

ON ARCHIMAX COPULAS AND MULTIVARIATE GPD MODELS

Author's: Barro Diakarya and Soumaïla Moussa
Pages: [89] - [101]
Received Date: November 28, 2016
Submitted by:
DOI: http://dx.doi.org/10.18642/jmsaa_7100121761

Abstract

This paper develops an extension to three dimensional study some properties of Archimax copulas. Moreover, multivariate generalized Pareto distributions are characterized by a pseudo-dependence function while usual multivariate extremal models are given with the corresponding dependence function.

Keywords

Archimax copula, generator, extreme values, generalized Pareto distribution.