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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AU - Scherer, Matthias

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AB - 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.

UR - https://www.scopus.com/pages/publications/74849089557

U2 - 10.1016/j.spl.2009.11.010

DO - 10.1016/j.spl.2009.11.010

M3 - Article

AN - SCOPUS:74849089557

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VL - 80

SP - 357

EP - 360

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 5-6

ER -

The Pickands representation of survival Marshall-Olkin copulas

Abstract

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