Tail Dependence Comparison of Survival Marshall–Olkin Copulas |
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Authors: | Haijun Li |
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Institution: | (1) Department of Mathematics, Washington State University, Pullman, WA 99164, USA;(2) Department of Statistics, Washington State University, Pullman, WA 99164, USA |
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Abstract: | The multivariate tail dependence describes the amount of dependence in the upper-orthant tail or lower-orthant tail of a multivariate
distribution and can be used in the study of dependence among extreme values. We derive an explicit expression of tail dependence
of multivariate survival Marshall–Olkin copulas, and obtain a sufficient condition under which tail dependencies of two survival
Marshall–Olkin copulas can be compared. Some examples are also presented to illustrate our results.
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Keywords: | Marshall– Olkin distribution Copula Tail dependence Pairwise IE transform |
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