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The Pickands representation of survival Marshall-Olkin copulas

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  • Mai, Jan-Frederik
  • Scherer, Matthias
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    Abstract

    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.

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-4XRCRKH-3/2/1e27318732eb36585c58da619e750327
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 80 (2010)
    Issue (Month): 5-6 (March)
    Pages: 357-360

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    Handle: RePEc:eee:stapro:v:80:y:2010:i:5-6:p:357-360

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    1. Li, Haijun, 2009. "Orthant tail dependence of multivariate extreme value distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 243-256, January.
    2. Mai, Jan-Frederik & Scherer, Matthias, 2009. "Lévy-frailty copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1567-1585, August.
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    Cited by:
    1. Li, Yang & Sun, Jianguo & Song, Shuguang, 2012. "Statistical analysis of bivariate failure time data with Marshall–Olkin Weibull models," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2041-2050.

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