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Non-exchangeable random variables, Archimax copulas and their fitting to real data. (English) Zbl 1227.93120
Summary: The aim of this paper is to open a new way of modelling non-exchangeable random variables with a class of Archimax copulas. We investigate a connection between powers of generators and dependence functions, and propose some construction methods for dependence functions. An application to different hydrological data is given.

MSC:
93E12 Identification in stochastic control theory
62A01 Foundations and philosophical topics in statistics
93A30 Mathematical modelling of systems (MSC2010)
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References:
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