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Document type:
Zeitschriftenaufsatz 
Author(s):
Fernández, L.; Mai, J.-F.; Scherer M. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
The mean of Marshall-Olkin dependent exponential random variables 
Abstract:
The probability distribution of Sd = X1 + . . . +Xd, where the vector (X1, . . . ,Xd) is distributed according to the Marshall–Olkin law, is investigated. Closed form solutions are derived in the general bivariate case and for d ∈ {2, 3, 4} in the exchangeable subfamily. Our computations can be extended to higher dimensions, which, however, becomes cumbersome due to the large number of involved parameters. For the Marshall–Olkin distributions with conditionally independent and identically distri...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Proceedings in Mathematics & Statistics 
Year:
2015 
Pages contribution:
33-50 
Reviewed:
ja 
Language:
en 
Status:
Erstveröffentlichung 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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