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Titel:

Reparameterizing Marshall-Olkin copulas with applications to sampling

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Mai, J.-F.; Scherer, M.
Nicht-TUM Koautoren:
nein
Kooperation:
-
Abstract:
It is shown that exchangeable Marshall-Olkin survival copulas coincide with a parametric family of copulas studied in [Mai, Scherer (2009b)]. This observation implies an alternative probabilistic interpretation in many cases and allows the transfer of known results from one family to the other. For instance, using the classical construction of [Marshall, Olkin (1967)], sampling an n-dimensional Marshall-Olkin copula requires 2n-1 exponentially distributed random variables, which is inefficient i...     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Journal of Statistical Computation and Simulation
Jahr:
2011
Band / Volume:
81
Heft / Issue:
1
Seitenangaben Beitrag:
59-78
Reviewed:
ja
Sprache:
en
Status:
Verlagsversion / published
Semester:
SS 02
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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