The Pickands representation of survival Marshall-Olkin copulas

Jan Frederik Mai; Matthias Scherer

doi:10.1016/j.spl.2009.11.010

The Pickands representation of survival Marshall-Olkin copulas

Jan Frederik Mai, Matthias Scherer

Associate Professorship of Risk and Insurance

Technical University of Munich

Research output: Contribution to journal › Article › peer-review

6 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	357-360
Number of pages	4
Journal	Statistics and Probability Letters
Volume	80
Issue number	5-6
DOIs	https://doi.org/10.1016/j.spl.2009.11.010
State	Published - 2010

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10.1016/j.spl.2009.11.010

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title = "The Pickands representation of survival Marshall-Olkin copulas",

abstract = "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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The Pickands representation of survival Marshall-Olkin copulas

Abstract

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