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.
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Volume (Year): 80 (2010)
Issue (Month): 5-6 (March)
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References listed on IDEAS
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- Li, Haijun, 2009. "Orthant tail dependence of multivariate extreme value distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 243-256, January.
- 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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