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- Title:
The Pickands representation of survival Marshall-Olkin copulas
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Mai, J.; Scherer, M.
- Non-TUM Co-author(s):
- nein
- Cooperation:
- -
- 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
BibTeX
versions
Occurrences:
- mediaTUM GesamtbestandEinrichtungenSchools TUM School of Computation, Information and TechnologyDepartmentsMathematicsLehrstuhl für Finanzmathematik (Prof. Zagst)Journal PapersScherer, M.