A primer on the characterization of the exchangeable Marshall-Olkin copula via monotone sequences

DOI10.1214/18-BJPS415MaRDI QIDQ2180264zbMATH OpenFDO

Authors Natalia Shenkman

Publication date 13 May 2020

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.bjps/1580720427

zbMATH Keywords

\(d\)-monotone sequenceexchangeabilitylack of memoryMarshall-Olkin distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20) Reliability and life testing (62N05)

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Cites work

• A concept of duality for multivariate exchangeable survival models
• A Multivariate Exponential Distribution
• A natural parametrization of multivariate distributions with limited memory
• An introduction to copulas.
• Asymptotic local efficiency of Cramér\,-\,von Mises tests for multivariate independence
• Constructing copula functions with weighted geometric means
• Finite exchangeability, Lévy-frailty copulas and higher-order monotonic sequences
• Lévy-frailty copulas
• Moments of convex distribution functions and completely alternating sequences
• Monotonicity properties of multivariate distribution and survival functions -- with an application to Lévy-frailty copulas
• Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws
• Reparameterizing Marshall–Olkin copulas with applications to sampling
• Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber

Cited in

(3)

• Finite exchangeability, Lévy-frailty copulas and higher-order monotonic sequences
• Characterizations of multivariate distributions with limited memory revisited: an analytical approach
• The deFinetti representation of generalised Marshall-Olkin sequences

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