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math.PR2024
Limiting Behavior of Maxima under Dependence
Klaus Herrmann, Marius Hofert, Johanna G. Neslehova
Weak convergence of maxima of dependent sequences of identically distributed continuous random variables is studied under normalizing sequences arising as subsequences of the norma…
math.PR2017
Hierarchical Archimax copulas
Marius Hofert, Raphael Huser, Avinash Prasad
The class of Archimax copulas is generalized to hierarchical Archimax copulas in two ways. First, a hierarchical construction of -norm generators is introduced to construct hier…
math.PR2016★ 32 cited
Bernoulli and tail-dependence compatibility
Paul Embrechts, Marius Hofert, Ruodu Wang
The tail-dependence compatibility problem is introduced. It raises the question whether a given -matrix of entries in the unit interval is the matrix of pairwise tail-de…