Multivariate generalized Marshall-Olkin distributions and copulas
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Publication:2445486
The authors introduce and study a generalization of the Marshall-Olkin distribution. After giving its definition, the authors obtain some basic properties of it, and they also derive the copula that corresponds to it. Next, the authors show that the generalization of the Marshall-Olkin distribution is upper-orthant tail independent, and then they attain explicit expressions for the lower tail dependence coefficients. They continue their study by analyzing the associated residual life vector, and then they study the positive dependence properties of this generalization of the Marshall-Olkin distribution. Finally, they give some results that stochastically compare generalized Marshall-Olkin random vectors. Some examples illustrate the theory.
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Cited in
(41)- Shock models with recovery option via the maxmin copulas
- Archimedean-based Marshall-Olkin distributions and related dependence structures
- A probabilistic view on semilinear copulas
- Generalized multivariate Gumbel distributions -- dependence, aging properties and applications
- A primer on the characterization of the exchangeable Marshall-Olkin copula via monotone sequences
- Hierarchical Archimedean dependence in common shock models
- The Pickands representation of survival Marshall-Olkin copulas
- Exogenous shock models: analytical characterization and probabilistic construction
- A new family of Marshall-Olkin extended distributions
- Ryu-type extended Marshall-Olkin model with implicit shocks and joint life insurance applications
- A Marshall-Olkin type multivariate model with underlying dependent shocks
- Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
- Reparameterizing Marshall–Olkin copulas with applications to sampling
- The Generalized Marshall–Olkin Type Multivariate Pareto Distributions
- Duality of the Multivariate Distributions of Marshall–Olkin Type and Tail Dependence
- Marshall-Olkin Laplace transform copulas of multivariate gamma distributions
- On extremes of bivariate residual lifetimes from generalized Marshall-Olkin and time transformed exponential models
- On sensitivity analysis of steady state probabilities of double redundant renewable system with Marshall-Olkin failure model
- On ordering parallel systems with two components having Marshall/Olkin-type lifetime distribution
- Copulas based on Marshall-Olkin machinery
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- Extended Marshall-Olkin model and its dual version
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- Generalized Marshall-Olkin distributions and related bivariate aging properties
- Copulae: an overview and recent developments
- Measuring risk contagion in financial networks with CoVaR
- Generating copula-correlated random variables: a sequential acceptance-rejection method
- Extended generalized Marshall-Olkin model for dependent censoring
- Asymptotic independence in more than two dimensions and its implications on risk management
- The deFinetti representation of generalised Marshall-Olkin sequences
- Three approaches in the study of recurrent Markovian and semi-Markovian processes
- A new family of Marshall-Olkin extended generalized linear exponential distribution
- Marshall-Olkin type copulas generated by a global shock
- Multivariate Markov families of copulas
- Tail dependence comparison of survival Marshall-Olkin copulas
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