Multivariate max-id copulas with L1-norm symmetric exponent measure

par Johanna Neslehova (Univ. McGill, Montréal, Canada)

mardi 7 févr. 2017, 10:00 → 11:00 Europe/Paris

125 (Bâtiment Braconnier, UCBL)

Members of the well-known family of bivariate Galambos copulas can be expressed in a closed form in terms of the univariate Fr ́echet distribution. This formula extends to any dimension and can be used to define a whole new class of tractable multivariate copulas that are generated by suitable univariate distributions. In this presentation, I will derive the necessary and sufficient conditions on the underlying uni- variate distribution that ensure that the resulting copula indeed exists. I will also show that these new copulas are in fact dependence structures of certain max-id distributions with l1-norm symmetric exponent measure. Basic dependence properties of this new class will be investigated along with an efficient algorithm for random number generation. This is joint work with Christian Genest and Louis-Paul Rivest.