Sampling Exchangeable and Hierarchical Marshall-Olkin Distributions

DOI10.1080/03610926.2011.615437zbMath1347.62025OpenAlexW2051048403MaRDI QIDQ4921627

Jan-Frederik Mai, Matthias Scherer

Publication date: 13 May 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.615437

zbMATH Keywords

Marshall-Olkin distributionsampling algorithmlack-of-memory property

Mathematics Subject Classification ID

Multivariate analysis (62H99) Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Sampling theory, sample surveys (62D05) Nonparametric statistical resampling methods (62G09)

Related Items (4)

The deFinetti representation of generalised Marshall-Olkin sequences ⋮ Implementing Markovian models for extendible Marshall-Olkin distributions ⋮ Limit distributions of the upper order statistics for the Lévy-frailty Marshall-Olkin distribution ⋮ A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution

Cites Work

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• Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions
• Constructing hierarchical archimedean copulas with Lévy subordinators
• Lévy-frailty copulas
• Moment-based estimation of extendible Marshall-Olkin copulas
• Reparameterizing Marshall–Olkin copulas with applications to sampling
• Sampling nested Archimedean copulas
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE

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