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Moment-based estimation of extendible Marshall-Olkin copulas

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  • Christian Hering

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  • Jan-Frederik Mai

    ()

Abstract

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Suggested Citation

  • Christian Hering & Jan-Frederik Mai, 2012. "Moment-based estimation of extendible Marshall-Olkin copulas," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(5), pages 601-620, July.
  • Handle: RePEc:spr:metrik:v:75:y:2012:i:5:p:601-620 DOI: 10.1007/s00184-011-0344-x
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    References listed on IDEAS

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    1. Ruiz-Rivas, Carmen & Cuadras, Carles M., 1988. "Inference properties of a one-parameter curved exponential family of distributions with given marginals," Journal of Multivariate Analysis, Elsevier, vol. 27(2), pages 447-456, November.
    2. Kundu, Debasis & Dey, Arabin Kumar, 2009. "Estimating the parameters of the Marshall-Olkin bivariate Weibull distribution by EM algorithm," Computational Statistics & Data Analysis, Elsevier, pages 956-965.
    3. G. Heinrich & U. Jensen, 1995. "Parameter estimation for a bivariate lifetime distribution in reliability with multivariate extensions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, pages 49-65.
    4. Lindskog, Filip & McNeil, Alexander J., 2003. "Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 33(02), pages 209-238, November.
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    Citations

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    Cited by:

    1. Ying Li & Wei Gu & Weijia Cui & Zhiyun Chang & Yingjun Xu, 2015. "Exploration of copula function use in crop meteorological drought risk analysis: a case study of winter wheat in Beijing, China," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 77(2), pages 1289-1303, June.
    2. Baglioni, Angelo & Cherubini, Umberto, 2013. "Within and between systemic country risk. Theory and evidence from the sovereign crisis in Europe," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1581-1597.
    3. Fabrizio Durante & Ostap Okhrin, 2014. "Estimation procedures for exchangeable Marshall copulas with hydrological application," SFB 649 Discussion Papers SFB649DP2014-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

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