A new operational max-stable copula for asymmetric spatial dependence in extreme value analysis
Modeling the spatial dependence of extremes presents a dual challenge: guaranteeing max-stability while capturing the asymmetries observed in the field. We introduce a simplified version of an asymmetric Schlather copula, obtained by a clever reparametrization. This formulation offers both an explicit density, facilitating estimation by maximum likelihood and three interpretable parameters controlling the range, intensity and asymmetry of the dependence. Applied to a real dataset of extreme temperatures, our model outperforms several classical copulas (including Hüsler-Reiss and Schlather) in terms of fit. We also detail the analytical properties of the model (tail distribution, max-stability, density), demonstrating its flexibility and practical relevance for the analysis of extreme climate risks.
Authors
- Remi Guillaume Bagré (ORCID: https://orcid.org/0000-0002-5199-467X)
- Jacques Kaboré
Institutions
- Laboratoire de Mathématiques d'Orsay (FR)
- Laboratoire de Mathématiques Blaise Pascal (FR)
Publication Details
- Journal
- Annals of Mathematics and Computer Science
- Published
- 2025-08-25
- DOI
- https://doi.org/10.56947/amcs.v29.548
- Primary Topic
- Insurance, Mortality, Demography, Risk Management
- Type
- article
- Field-Weighted Citation Impact
- 0.00