Multivariate Generalized Marshall-Olkin Distributions and Copulas

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	Multivariate Generalized Marshall-Olkin Distributions and Copulas
	Lin, Jianhua ; Li, Xiaohu ; Lin JH(林建华) ; Lin JH(林建华) ; Li XH(李效虎)
刊名	http://dx.doi.org/10.1007/s11009-012-9297-4
	2014
关键词	TAIL DEPENDENCE
英文摘要	National Natural Science Foundation of China [11171278]; Fundamental Research Funds for the Central Universities of China [2010121005]; The multivariate generalized Marshall-Olkin distributions, which include the multivariate Marshall-Olkin exponential distribution due to Marshall and Olkin (J Am Stat Assoc 62:30-41, 1967) and multivariate Marshall-Olkin type distribution due to Muliere and Scarsini (Ann Inst Stat Math 39:429-441, 1987) as special cases, are studied in this paper. We derive the survival copula and the upper/lower orthant dependence coefficient, build the order of these survival copulas, and investigate the evolution of dependence of the residual life with respect to age. The main conclusions developed here are both nice extensions of the main results in Li (Commun Stat Theory Methods 37:1721-1733, 2008a, Methodol Comput Appl Probab 10:39-54, 2008b) and high dimensional generalizations of some results on the bivariate generalized Marshall-Olkin distributions in Li and Pellerey (J Multivar Anal 102:1399-1409, 2011).
语种	英语
出版者	SPRINGER
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/91362]
专题	数学科学－已发表论文
推荐引用方式 GB/T 7714	Lin, Jianhua,Li, Xiaohu,Lin JH,et al. Multivariate Generalized Marshall-Olkin Distributions and Copulas[J]. http://dx.doi.org/10.1007/s11009-012-9297-4,2014.
APA	Lin, Jianhua,Li, Xiaohu,林建华,林建华,&李效虎.(2014).Multivariate Generalized Marshall-Olkin Distributions and Copulas.http://dx.doi.org/10.1007/s11009-012-9297-4.
MLA	Lin, Jianhua,et al."Multivariate Generalized Marshall-Olkin Distributions and Copulas".http://dx.doi.org/10.1007/s11009-012-9297-4 (2014).