The conjectured max-domain-of-attraction limit for clustered Archimax copulas
The conjectured max-domain-of-attraction limit for clustered Archimax copulas
Let be a clustered Archimax copula satisfying the extended max-domain-of-attraction assumption and the standard stable tail dependence function assumption. For , define with . Let be the multivariate limit law and its marginal limit laws. The conjectured max-domain-of-attraction limit. One has and , where for and for , and the stable tail dependence function of is, for all ,
This is the proposed precise extension of the max-domain-of-attraction theorem to the boundary class ; 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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