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Homogeneous distributions—And a spectral representation of classical mean values and stable tail dependence functions

Citations

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Cited by:

  1. Elena Di Bernardino & Didier Rullière, 2016. "On an asymmetric extension of multivariate Archimedean copulas based on quadratic form," Working Papers hal-01147778, HAL.
  2. Mercadier Cécile & Ressel Paul, 2021. "Hoeffding–Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application," Dependence Modeling, De Gruyter, vol. 9(1), pages 179-198, January.
  3. Einmahl, John & Kiriliouk, A. & Segers, J.J.J., 2016. "A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions," Other publications TiSEM a3e7350b-4773-4bd8-9c3c-6, Tilburg University, School of Economics and Management.
  4. Molchanov, Ilya & Strokorb, Kirstin, 2016. "Max-stable random sup-measures with comonotonic tail dependence," Stochastic Processes and their Applications, Elsevier, vol. 126(9), pages 2835-2859.
  5. Ressel Paul, 2018. "A multivariate version of Williamson’s theorem, ℓ-symmetric survival functions, and generalized Archimedean copulas," Dependence Modeling, De Gruyter, vol. 6(1), pages 356-368, December.
  6. Mai, Jan-Frederik & Scherer, Matthias, 2020. "On the structure of exchangeable extreme-value copulas," Journal of Multivariate Analysis, Elsevier, vol. 180(C).
  7. Charpentier, A. & Fougères, A.-L. & Genest, C. & Nešlehová, J.G., 2014. "Multivariate Archimax copulas," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 118-136.
  8. Kiriliouk, Anna & Segers, Johan & Tafakori, Laleh, 2018. "An estimator of the stable tail dependence function based on the empirical beta copula," LIDAM Discussion Papers ISBA 2018029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  9. Hofert, Marius & Huser, Raphaël & Prasad, Avinash, 2018. "Hierarchical Archimax copulas," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 195-211.
  10. Górecki, Jan & Hofert, Marius & Okhrin, Ostap, 2021. "Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).
  11. Bernhart German & Mai Jan-Frederik & Scherer Matthias, 2015. "On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-18, May.
  12. Ressel Paul, 2022. "Stable tail dependence functions – some basic properties," Dependence Modeling, De Gruyter, vol. 10(1), pages 225-235, January.
  13. Ressel Paul, 2019. "Copulas, stable tail dependence functions, and multivariate monotonicity," Dependence Modeling, De Gruyter, vol. 7(1), pages 247-258, January.
  14. Rootzen, Holger & Segers, Johan & Wadsworth, Jennifer, 2017. "Multivariate generalized Pareto distributions: parametrizations, representations, and properties," LIDAM Discussion Papers ISBA 2017016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  15. Mai Jan-Frederik, 2020. "The de Finetti structure behind some norm-symmetric multivariate densities with exponential decay," Dependence Modeling, De Gruyter, vol. 8(1), pages 210-220, January.
  16. Einmahl, John & Segers, Johan, 2020. "Empirical Tail Copulas for Functional Data," Other publications TiSEM edc722e6-cc70-4221-87a2-8, Tilburg University, School of Economics and Management.
  17. Hofert, Marius, 2021. "Right-truncated Archimedean and related copulas," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 79-91.
  18. Kiriliouk, Anna & Segers, Johan & Tafakori, Laleh, 2017. "An estimator of the stable tail dependence function based on the empirical beta copula," LIDAM Discussion Papers ISBA 2017028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  19. Mhalla, Linda & Chavez-Demoulin, Valérie & Naveau, Philippe, 2017. "Non-linear models for extremal dependence," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 49-66.
  20. Mai Jan-Frederik, 2020. "The de Finetti structure behind some norm-symmetric multivariate densities with exponential decay," Dependence Modeling, De Gruyter, vol. 8(1), pages 210-220, January.
  21. Durante Fabrizio & Sánchez Juan Fernández & Sempi Carlo, 2018. "A note on bivariate Archimax copulas," Dependence Modeling, De Gruyter, vol. 6(1), pages 178-182, October.
  22. Marcon, Giulia & Padoan, Simone & Naveau, Philippe & Muliere, Pietro & Segers, Johan, 2016. "Multivariate Nonparametric Estimation of the Pickands Dependence Function using Bernstein Polynomials," LIDAM Discussion Papers ISBA 2016020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  23. Rootzén, Holger & Segers, Johan & Wadsworth, Jennifer L., 2018. "Multivariate generalized Pareto distributions: Parametrizations, representations, and properties," Journal of Multivariate Analysis, Elsevier, vol. 165(C), pages 117-131.
  24. Mai Jan-Frederik, 2024. "Sharp bounds on the survival function of exchangeable min-stable multivariate exponential sequences," Dependence Modeling, De Gruyter, vol. 12(1), pages 1-12.
  25. Kiriliouk, Anna, 2017. "Hypothesis testing for tail dependence parameters on the boundary of the parameter space with application to generalized max-linear models," LIDAM Discussion Papers ISBA 2017027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  26. Mai, Jan-Frederik, 2018. "Extreme-value copulas associated with the expected scaled maximum of independent random variables," Journal of Multivariate Analysis, Elsevier, vol. 166(C), pages 50-61.
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