A new extreme value copula and new families of univariate distributions based on Freund's exponential model

DOI10.1515/DEMO-2020-0018MaRDI QIDQ830306zbMATH OpenOpenAlexWikidataFDO

Authors Sándor Guzmics, Georg Ch. Pflug

Publication date 7 May 2021

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2020-0018

zbMATH Keywords

copulasmultivariate distributionsextreme value copulasFreund copulalifetime modelingparametric univariate distributionssums of non-independent random variables

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Multivariate distribution of statistics (62H10) Reliability and life testing (62N05) Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characterization and structure theory of statistical distributions (62E10)

Recommendations

• scientific article; zbMATH DE number 63374
• A continuous multivariate exponential distribution
• Multivariate lifetime distributions for the exponential dispersion family
• A family of bivariate exponential distributions and their copulas
• The Construction of New Bivariate Exponential Distributions from a Bayesian Perspective

Cites work

• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• A Bivariate Extension of the Exponential Distribution
• A Multivariate Exponential Distribution
• An introduction to copulas.
• Best attainable rates of convergence for estimators of the stable tail dependence function
• Extreme value copulas and max-stable processes
• Extremes and related properties of random sequences and processes
• Families of Multivariate Distributions
• Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria
• Limit theory for multivariate sample extremes
• Mass distributions of two-dimensional extreme-value copulas and related results
• Modelling cascading effects for systemic risk: properties of the Freund copula
• NONHOMOGENEOUS BIRTH PROCESSES AND l_∞-SPHERICAL DENSITIES, WITH APPLICATIONS IN RELIABILITY THEORY
• Nonparametric estimation of multivariate extreme-value copulas
• Simulating Copulas
• Systems weakened by failures

Cited in

(3)

• scientific article; zbMATH DE number 63374 (Why is no real title available?)
• Modelling cascading effects for systemic risk: properties of the Freund copula
• Multivariate lifetime distributions for the exponential dispersion family

This page was built for publication: A new extreme value copula and new families of univariate distributions based on Freund's exponential model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q830306)