Marshall-Olkin type copulas generated by a global shock
From MaRDI portal
Publication:898985
DOI10.1016/J.CAM.2015.10.022zbMATH Open1328.62305OpenAlexW1943022412MaRDI QIDQ898985FDOQ898985
Stéphane Girard, Gildas Mazo, Fabrizio Durante
Publication date: 21 December 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2015.10.022
Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Cites Work
- Dependence Modeling with Copulas
- Simulating Copulas
- Inequalities: theory of majorization and its applications
- An introduction to copulas.
- Title not available (Why is that?)
- Construction of asymmetric multivariate copulas
- Title not available (Why is that?)
- A Multivariate Exponential Distribution
- Multivariate distributions with proportional reversed hazard marginals
- A note on generalized inverses
- On a family of multivariate copulas for aggregation processes
- Exchangeable exogenous shock models
- A new class of symmetric bivariate copulas
- Generalized Marshall-Olkin distributions and related bivariate aging properties
- Semilinear copulas
- Assessing financial model risk
- Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
- Rectangular Patchwork for Bivariate Copulas and Tail Dependence
- Erratum to ``Construction of asymmetric multivariate copulas
- Reliability and Risk
- Copulas, diagonals, and tail dependence
- Marshall-Olkin distributions -- advances in theory and applications. Selected papers based on the presentations at the conference, Bologna, Italy, October 2--3, 2013
- Extended Marshall–Olkin Model and Its Dual Version
- On the distortion of a copula and its margins
- Worst case risk measurement: back to the future?
- On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
- Multivariate generalized Marshall-Olkin distributions and copulas
- Multivariate hierarchical copulas with shocks
- Distorted Copulas: Constructions and Tail Dependence
- On Marshall-Olkin type distribution with effect of shock magnitude
- Copulas Based on Marshall–Olkin Machinery
Cited In (12)
- Singular components of shock model copulas
- Transformation of a copula using the associated co-copula
- Shock models with dependence and asymmetric linkages
- Copulae: an overview and recent developments
- Reflected maxmin copulas and modeling quadrant subindependence
- Extreme semilinear copulas
- Parameterized transformations and truncation: when is the result a copula?
- Reliability analysis under Marshall-Olkin run shock model
- Extreme generators of shock induced copulas
- Constructing copulas from shock models with imprecise distributions
- Asymmetric linkages: maxmin vs. reflected maxmin copulas
- Some multivariate imprecise shock model copulas
Uses Software
This page was built for publication: Marshall-Olkin type copulas generated by a global shock
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q898985)
