Lévy-frailty copulas

DOI10.1016/j.jmva.2009.01.010zbMath1162.62048OpenAlexW2017104962MaRDI QIDQ1021855

Matthias Scherer, Jan-Frederik Mai

Publication date: 9 June 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.01.010

zbMATH Keywords

Archimedean copulaMarshall-Olkin copulaextreme-value copulaLévy subordinatorcompletely monotone sequence

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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