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Copulas based on Marshall–Olkin machinery
Abstract : We present a general construction principle for copulas that is inspired by the celebrated Marshall–Olkin exponential model. From this general construction method we derive special sub–classes of copulas that could be useful in different situations and recall their main properties. Moreover, we discuss possible estimation strategy for the proposed copulas. The presented results are expected to be useful in the construction of stochastic models for lifetimes (e.g. in reliability theory) or in credit risk models.
Cited literature [32 references]
https://hal.archives-ouvertes.fr/hal-01153150
Contributor : Stephane Girard Connect in order to contact the contributor
Submitted on : Tuesday, May 19, 2015 - 10:59:52 AM
Last modification on : Tuesday, October 19, 2021 - 11:13:08 PM
Long-term archiving on: : Tuesday, September 15, 2015 - 6:09:13 AM
Contributor : Stephane Girard Connect in order to contact the contributor
Submitted on : Tuesday, May 19, 2015 - 10:59:52 AM
Last modification on : Tuesday, October 19, 2021 - 11:13:08 PM
Long-term archiving on: : Tuesday, September 15, 2015 - 6:09:13 AM
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