This paper presents a novel nonlinear framework for the construction of flexible multivariate dependence structure~(i.e., copula) from existing copulas based on a straightforward "pairwise max" rule. The newly constructed max-copula has a closed form and has strong interpretability. Compared to the classical "linear symmetric" mixture copula, th...
Zhang, Zhengjun (University of Wisconsin, Madison)
University of Minnesota, Institute for Mathematics and its Applications.