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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
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