In this work, we consider three-dimensional distributions obtained using copulas to jointly study pollutants monthly maxima collected in three regions of Mexico City. The copula models taken into account are the usual Gumbel-Hougaard and a nested copula with this copula as the base copula. Fréchet distributions are used as the marginal distributions in the copula formulations. Parameters of the models are estimated under the Bayesian point of view via Markov chain Monte Carlo algorithms. The models are applied to three pollutants obtained from the monitoring stations placed in three regions of the Mexico City metropolitan area.
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