On the class of bivariate Archimax copulas under constraints

doi:10.1016/j.fss.2020.06.017

Fuzzy Sets and Systems

Volume 415, 15 July 2021, Pages 37-53

https://doi.org/10.1016/j.fss.2020.06.017 Get rights and content

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Abstract

The class of bivariate Archimax copulas spans a broad range of dependence. However, its size is much reduced when the degree of association is prespecified. The extent of this reduction is studied for a large set of measures of association. The cases of exchangeable and non-exchangeable Archimax copulas are both considered.

Keywords

Archimax copula

Archimedean copula

Blomqvist's beta

Exchangeability

Extreme-value copula

Kendall's tau

Non-exchangeability

Pickands dependence function

Spearman's rho

Tail dependence