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Document type:
Zeitschriftenaufsatz 
Author(s):
Mai, J.-F.; Scherer, M. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
Reparameterizing Marshall-Olkin copulas with applications to sampling 
Abstract:
It is shown that exchangeable Marshall-Olkin survival copulas coincide with a parametric family of copulas studied in [Mai, Scherer (2009b)]. This observation implies an alternative probabilistic interpretation in many cases and allows the transfer of known results from one family to the other. For instance, using the classical construction of [Marshall, Olkin (1967)], sampling an n-dimensional Marshall-Olkin copula requires 2n-1 exponentially distributed random variables, which is inefficient i...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Journal of Statistical Computation and Simulation 
Year:
2011 
Journal volume:
81 
Journal issue:
Pages contribution:
59-78 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 02 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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