Lévy-frailty copulas
From MaRDI portal
Publication:1021855
DOI10.1016/j.jmva.2009.01.010zbMath1162.62048MaRDI QIDQ1021855
Jan-Frederik Mai, Matthias Scherer
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
Archimedean copula; Marshall-Olkin copula; extreme-value copula; Lévy subordinator; completely monotone sequence
60G51: Processes with independent increments; Lévy processes
62H20: Measures of association (correlation, canonical correlation, etc.)
62H05: Characterization and structure theory for multivariate probability distributions; copulas
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