On an Asymmetric Extension of the Brown-Resnick Spatial Copula: Study of Properties and Estimation Method

A. This paper is devoted to the theoretical study of an asymmetric max-stable copula in dimension two derived from a class of copulas previously introduced in a previous work.This particular copula, constructed as an asymmetric extension of the Brown-Resnick copula, can be used to model structures of extreme spatial dependencies with asymmetry between the margins.Given the complexity of the density, particularly in higher dimensions, we recommend the use of the pairwise likelihood method for parameter estimation.This approach, which is well suited to models with complex dependencies, allows efficient inference from bivariate margins.This work thus provides a sound theoretical basis for future applications of this copula to multivariate extreme data.