Hierarchical Archimax copulas

Marius Hofert*, Raphaël Huser, Avinash Prasad

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

9 Scopus citations


The class of Archimax copulas is generalized to hierarchical Archimax copulas in two ways. First, a hierarchical construction of d-norm generators is introduced to construct hierarchical stable tail dependence functions which induce a hierarchical structure on Archimax copulas. Second, by itself or additionally, hierarchical frailties are introduced to extend Archimax copulas to hierarchical Archimax copulas in a similar way as nested Archimedean copulas extend Archimedean copulas. Possible extensions to nested Archimax copulas are discussed. A general formula for the density and its evaluation of Archimax copulas is also introduced.

Original languageEnglish (US)
Pages (from-to)195-211
Number of pages17
JournalJournal of Multivariate Analysis
StatePublished - Sep 2018


  • Archimax copulas
  • Hierarchical frailties
  • Hierarchical stable tail dependence functions
  • Nesting

ASJC Scopus subject areas

  • Statistics and Probability
  • Numerical Analysis
  • Statistics, Probability and Uncertainty


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