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Copulas based on Marshall–Olkin machinery

Fabrizio Durante 1 Stéphane Girard 2 Gildas Mazo 3
2 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology
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.
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Submitted on : Tuesday, May 19, 2015 - 10:59:52 AM
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Fabrizio Durante, Stéphane Girard, Gildas Mazo. Copulas based on Marshall–Olkin machinery. U. Cherubini et al. Marshall-Olkin Distributions. Advances in Theory and Applications, 141 (Chapter 2), Springer, pp.15--31, 2015, Springer Proceedings in Mathematics and Statistics, 978-3-319-19038-9. ⟨10.1007/978-3-319-19039-6_2⟩. ⟨hal-01153150⟩

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