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

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Let CG,ψ,ℓ,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 k∈D1k\in\mathcal{D}_1, define bk=E⁡(1/Zkρk)b_k=\operatorname{E}(1/Z_k^{\rho_k}) with Zk∼Beta⁡(1,dk−1)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/X∈M(H)1/\bm{X}\in\mathcal{M}(H) and 1/Xki∈M(Hki)1/X_{ki}\in\mathcal{M}(H_{ki}), where Hki=ΦρkH_{ki}=\Phi_{\rho_k} for k∈D1k\in\mathcal{D}_1 and Hki=Φ1H_{ki}=\Phi_1 for k∈D2∪D3k\in\mathcal{D}_2\cup\mathcal{D}_3, and the stable tail dependence function of HH is, for all x∈R+d\bm{x}\in\mathbb{R}_+^d,

ℓG,ψ,ℓ,Q(x)=E⁡(max⁡k∈D11≤i≤dkxkiWkbkSkiρk)+∑k∈D2∪D3ℓk(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.

References

Primary source

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

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