Families of Multivariate Distributions
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Publication:4733247
DOI10.2307/2289314zbMATH Open0683.62029OpenAlexW4254179376MaRDI QIDQ4733247FDOQ4733247
Albert W. Marshall, Ingram Olkin
Publication date: 1988
Full work available at URL: https://doi.org/10.2307/2289314
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Laplace transformmixtures of distributionstotal positivityassociated random variablesbivariate distributionsuniform marginalspositive and negative dependence properties
Probability distributions: general theory (60E05) Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Cited In (only showing first 100 items - show all)
- Densities of nested Archimedean copulas
- Stochastic orders in time transformed exponential models with applications
- Families of min-stable multivariate exponential and multivariate extreme value distributions
- The tau-path test for monotone association in an unspecified subpopulation: application to chemogenomic data mining
- Estimating the joint survival probabilities of married individuals
- Multivariate survival functions with a min-stable property
- Construction and sampling of Archimedean and nested Archimedean Lévy copulas
- Data driven smooth test for paired populations
- Two novel characterizations of self-decomposability on the half-line
- Pricing distressed CDOs with stochastic recovery
- Optimal capital allocations to interdependent actuarial risks
- Hierarchical Archimax copulas
- Second order regular variation and conditional tail expectation of multiple risks
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- Nonparametric estimation of general multivariate tail dependence and applications to financial time series
- CDO pricing with nested Archimedean copulas
- Inference in multivariate Archimedean copula models
- A multivariate mixture of Weibull distributions in reliability modeling.
- Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions
- \(H\)-extendible copulas
- Estimators based on trimmed Kendall's tau in multivariate copula models
- Profile likelihood approaches for semiparametric copula and frailty models for clustered survival data
- Some recent developments for regression analysis of multivariate failure time data
- Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
- Multivariate distributions with support above the diagonal
- Orthant tail dependence of multivariate extreme value distributions
- Lévy-frailty copulas
- Families of Multivariate Distributions Involving the Rosenblatt Construction
- On the recovery of joint distributions from limited information
- De copulis non est disputandum. Copulae: an overview
- Multivariate Archimax copulas
- Strategic asset allocation with switching dependence
- An analytical formula for pricing \(m\)-th to default swaps
- Tail order and intermediate tail dependence of multivariate copulas
- Criteria for the Stochastic Ordering of Random Sums, with Actuarial Applications
- The construction of multivariate distributions from Markov random fields
- Constructing multivariate distributions with specific marginal distributions
- Extremal behavior of Archimedean copulas
- Miscellanea. A multivariate family of distributions on (0, )p
- Bivariate distributions with given extreme value attractor
- Sampling Archimedean copulas
- Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management
- Regression Survival Analysis with an Assumed Copula for Dependent Censoring: A Sensitivity Analysis Approach
- False discovery rate control under Archimedean copula
- A note on allocation of portfolio shares of random assets with Archimedean copula
- The discrete-time risk model with correlated classes of business
- A bivariate Gompertz-Makeham life distribution
- Probabilistic slope stability analysis by a copula-based sampling method
- Sampling from Archimedean copulas
- Comments on: Inference in multivariate Archimedean copula models
- Strength of tail dependence based on conditional tail expectation
- Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time
- Reparameterizing Marshall–Olkin copulas with applications to sampling
- Empirical likelihood for non-smooth criterion functions
- Stochastic comparisons in multivariate mixed model of proportional reversed hazard rate with applications
- Generalized logistic models and its orthant tail dependence
- Testing for concordance between several criteria
- Dependent hazards in multivariate survival problems
- Functional characterizations of bivariate weak SAI with an application
- Compound Poisson approximations for individual models with dependent risks.
- Archimedean copulas with applications to VaR estimation
- Convergence of Archimedean copulas
- Efficiently sampling nested Archimedean copulas
- Modeling cause-of-death mortality using hierarchical Archimedean copula
- Measuring the coupled risks: A copula-based CVaR model
- Semiparametric Regression Estimation in Copula Models
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Archimedean copulae and positive dependence
- On Families of Distributions with Shape Parameters
- Copula-based semiparametric models for multivariate time series
- On the construction of multivariate distributions with given nonoverlapping multivariate marginals
- Dependence properties of conditional distributions of some copula models
- Hierarchical Archimedean copulas through multivariate compound distributions
- Probability distributions with given multivariate marginals and given dependence structure
- Multivariate dependence modeling based on comonotonic factors
- Measuring the impact of dependence between claims occurrences.
- Robust portfolio optimization with copulas
- Efficient estimation of semiparametric copula models for bivariate survival data
- Construction of asymmetric multivariate copulas
- Parametric families of multivariate distributions with given margins
- Estimating Archimedean copulas in high dimensions
- From Archimedean to Liouville copulas
- A martingale approach to the copula-graphic estimator for the survival function under dependent censoring
- Tails of multivariate Archimedean copulas
- Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
- Mixture Representation of the Maximum Entropy Density Through Archimedean Copulas
- Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
- A new extreme value copula and new families of univariate distributions based on Freund's exponential model
- On the construction of nested Archimedean copulas for \(d\)-monotone generators
- Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
- Numerical methods to quantify the model risk of basket default swaps
- Semi-parametric multivariate modelling when the marginals are the same
- Estimating correlation from dichotomized normal variables
- Bayesian bivariate survival analysis using the power variance function copula
- Bivariate frailty model for the analysis of multivariate survival time
- Sampling from Archimedean n-copulas
- Canonical expansions, correlation structure, and conditional distributions of bivariate distributions generated by mixtures
- A strategy for constructing multivariate distributions
- Systemic risk and copula models
- Law of large numbers and large deviations for dependent risks
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