TY - JOUR
T1 - Exogenous shock models
T2 - analytical characterization and probabilistic construction
AU - Scherer, Matthias
AU - Sloot, Henrik
N1 - Publisher Copyright:
© 2019, Springer-Verlag GmbH Germany, part of Springer Nature.
PY - 2019/11/1
Y1 - 2019/11/1
N2 - A new characterization for survival functions of multivariate failure-times arising in exogenous shock models with non-negative, continuous, and unbounded shocks is presented. These survival functions are the product of their ordered and individually transformed arguments. The involved transformations may depend on the specific order of the arguments and must fulfill a monotonicity condition. Conversely, every survival function of that form can be constructed using an exogenous shock model with independent and non-homogeneous shocks.
AB - A new characterization for survival functions of multivariate failure-times arising in exogenous shock models with non-negative, continuous, and unbounded shocks is presented. These survival functions are the product of their ordered and individually transformed arguments. The involved transformations may depend on the specific order of the arguments and must fulfill a monotonicity condition. Conversely, every survival function of that form can be constructed using an exogenous shock model with independent and non-homogeneous shocks.
KW - Exogenous shock model
KW - Fatal shock model
KW - Generalized Marshall–Olkin distribution
KW - Multivariate survival function
UR - http://www.scopus.com/inward/record.url?scp=85065390783&partnerID=8YFLogxK
U2 - 10.1007/s00184-019-00715-8
DO - 10.1007/s00184-019-00715-8
M3 - Article
AN - SCOPUS:85065390783
SN - 0026-1335
VL - 82
SP - 931
EP - 959
JO - Metrika
JF - Metrika
IS - 8
ER -