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Titel:

The mean of Marshall-Olkin dependent exponential random variables

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Fernández, L.; Mai, J.-F.; Scherer M.
Nicht-TUM Koautoren:
nein
Kooperation:
international
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
Zeitschriftentitel:
Proceedings in Mathematics & Statistics
Jahr:
2015
Seitenangaben Beitrag:
33-50
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1007/978-3-319-19039-6_3
Status:
Erstveröffentlichung
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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