The Pickands representation of survival Marshall-Olkin copulas

Titel:: The Pickands representation of survival Marshall-Olkin copulas
Dokumenttyp:: Zeitschriftenaufsatz
Autor(en):: Mai, J.; Scherer, M.
Nicht-TUM Koautoren:: nein
Kooperation:: -
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
Zeitschriftentitel:: Statistics and Probability Letters
Jahr:: 2010
Band / Volume:: 80
Heft / Issue:: 5/6
Seitenangaben Beitrag:: 357-360
Reviewed:: ja
Sprache:: en
Status:: Verlagsversion / published
TUM Einrichtung:: Lehrstuhl für Finanzmathematik
Format:: Text
Key publication:: Nein
Peer reviewed:: Ja
International:: Ja
Book review:: Nein
commissioned:: not commissioned
Professional Journal:: Nein
BibTeX

Versionen