论文信息 - The Pickands representation of survival Marshall-Olkin copulas

The Pickands representation of survival Marshall-Olkin copulas

The Pickands representation of an arbitrary survival Marshall-Olkin copula is computed. In dimension d>=2, the corresponding dependence measure is discrete with support consisting of 2d-1 atoms on the d-dimensional unit simplex.

Jan-Frederik Mai | Matthias Scherer

[1] H. Joe. Multivariate models and dependence concepts , 1998 .

[2] Jan-Frederik Mai,et al. Lévy-frailty copulas , 2009, J. Multivar. Anal..

[3] Haijun Li,et al. Orthant tail dependence of multivariate extreme value distributions , 2009, J. Multivar. Anal..

[4] Haijun Li,et al. Tail Dependence Comparison of Survival Marshall–Olkin Copulas , 2008 .

[5] I. Olkin,et al. A Multivariate Exponential Distribution , 1967 .

[6] M. Scherer,et al. Reparameterizing Marshall–Olkin copulas with applications to sampling , 2011 .