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Document type:
Zeitschriftenaufsatz 
Author(s):
Mai, J.-F.; Scherer, M. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
Sampling exchangeable and hierarchical Marshall-Olkin distributions 
Abstract:
The classical motivation of the Marshall-Olkin distribution is a d-dimensional frailty model. Independent exponentially distributed random variables represent the arrival times of shocks that destroy subgroups of a vector with d components. Sampling the resulting random vector of extinction times is conceptually straightforward. Firstly, all possible shocks are sampled. Secondly, the extinction time of each component is computed. However, implementing this sampling scheme involves 2^d-1 random v...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Communications in Statistics – Theory and Methods 
Year:
2013 
Journal volume:
42 
Journal issue:
Pages contribution:
619-632 
Reviewed:
ja 
Language:
en 
Status:
Erstveröffentlichung 
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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