Spatial Tail Dependence and Survival Stability in a Class of Archimedean Copulas

Abstract EN

This paper investigates properties of extensions of tail dependence of Archimax copulas to high dimensional analysis in a spatialized framework.

Specifically, we propose a characterization of bivariate margins of spatial Archimax processes while spatial multivariate upper and lower tail dependence coefficients are modeled, respectively, for Archimedean copulas and Archimax ones.

A property of stability is given using convex transformations of survival copulas in a spatialized Archimedean family.