The Pickands representation of survival Marshall-Olkin copulas

被引：4
|
作者：
Mai, Jan-Frederik [1 ]
Scherer, Matthias [1 ]
机构：
[1] Tech Univ Munich, HVB Inst Math Finance, D-85748 Garching, Germany
来源：
STATISTICS & PROBABILITY LETTERS | 2010年 / 80卷 / 5-6期
关键词：
TAIL DEPENDENCE;
D O I：
10.1016/j.spl.2009.11.010
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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 2(d) -1 atoms on the d-dimensional unit simplex. (C) 2009 Elsevier B.V. All rights reserved.
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页码：357 / 360
页数：4
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