The conjectured max-domain-of-attraction limit for clustered Archimax copulas

From papers

Let CG,ψ,,QC_{\mathcal{G},\bm{\psi},\bm{\ell},Q} be a clustered Archimax copula satisfying the extended max-domain-of-attraction assumption and the standard stable tail dependence function assumption. For kD1k\in\mathcal{D}_1, define bk=E(1/Zkρk)b_k=\operatorname{E}(1/Z_k^{\rho_k}) with ZkBeta(1,dk1)Z_k\sim\operatorname{Beta}(1,d_k-1). Let HH be the multivariate limit law and HkiH_{ki} its marginal limit laws. The conjectured max-domain-of-attraction limit. One has 1/XM(H)1/\bm{X}\in\mathcal{M}(H) and 1/XkiM(Hki)1/X_{ki}\in\mathcal{M}(H_{ki}), where Hki=ΦρkH_{ki}=\Phi_{\rho_k} for kD1k\in\mathcal{D}_1 and Hki=Φ1H_{ki}=\Phi_1 for kD2D3k\in\mathcal{D}_2\cup\mathcal{D}_3, and the stable tail dependence function of HH is, for all xR+d\bm{x}\in\mathbb{R}_+^d,

G,ψ,,Q(x)=E(maxkD11idkxkiWkbkSkiρk)+kD2D3k(xk).\ell_{\mathcal{G},\bm{\psi},\bm{\ell},Q}(\bm{x})=\operatorname{E}\left(\max_{\substack{k\in\mathcal{D}_1\\1\leq i\leq d_k}}\frac{x_{ki}W_k}{b_kS_{ki}^{\rho_k}}\right)+\sum_{k\in\mathcal{D}_2\cup\mathcal{D}_3}\ell_k(\bm{x}_k).

This is the proposed precise extension of the max-domain-of-attraction theorem to the boundary class D3\mathcal{D}_3; no proof or resolution is given in the supplied text.

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Primary source

Simon Chatelain, Samuel Perreault, Johanna G. Nešlehová and Anne-Laure Fougères, “Clustered Archimax Copulas”, arXiv:2210.15622 (2022).

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