The Pickands representation of survival Marshall-Olkin copulas

Document type:: Zeitschriftenaufsatz
Author(s):: Mai, J.; Scherer, M.
Non-TUM Co-author(s):: nein
Cooperation:: -
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 at most 2^d-1 atoms on the d-dimensional unit simplex.
Intellectual Contribution:: Discipline-based Research
Journal title:: Statistics and Probability Letters
Year:: 2010
Journal volume:: 80
Journal issue:: 5/6
Pages contribution:: 357-360
Reviewed:: ja
Language:: en
Status:: Verlagsversion / published
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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