Copulas Based on Marshall–Olkin Machinery View Full Text


Ontology type: schema:Chapter      Open Access: True


Chapter Info

DATE

2015-06-02

AUTHORS

Fabrizio Durante , Stéphane Girard , Gildas Mazo

ABSTRACT

We present a general construction principle for copulas that is inspired by the celebrated Marshall–Olkin exponential model. From this general construction method, we derive special subclasses of copulas that could be useful in different situations and recall their main properties. Moreover, we discuss possible estimation strategy for the proposed copulas. The presented results are expected to be useful in the construction of stochastic models for lifetimes (e.g., in reliability theory) or in credit risk models. More... »

PAGES

15-31

Book

TITLE

Marshall ̶ Olkin Distributions - Advances in Theory and Applications

ISBN

978-3-319-19038-9
978-3-319-19039-6

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/978-3-319-19039-6_2

DOI

http://dx.doi.org/10.1007/978-3-319-19039-6_2

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1031224620


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