Kybernetika 47 no. 4, 519-531, 2011

Non-exchangeable random variables, Archimax copulas and their fitting to real data

Tomáš Bacigál, Vladimír Jágr and Radko Mesiar

Abstract:

The aim of this paper is to open a new way of modelling non-exchangeable random variables with a class of Archimax copulas. We investigate a connection between powers of generators and dependence functions, and propose some construction methods for dependence functions. Application to different hydrological data is given.

Keywords:

Archimax copula, dependence function, generator

Classification:

93E12, 62A10

paper.pdf

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