A new bivariate Poisson common shock model covering all possible degrees of dependence

Christian Genest, Mhamed Mesfioui and Juliana Schulz

Statistics & Probability Letters, 2018, vol. 140, issue C, 202-209

Abstract: A variant of the bivariate Poisson common shock model is proposed which, contrary to the original, spans all possible degrees of dependence. Its basic distributional properties are described, moment-based estimation is studied, and its use is illustrated on real data.

Keywords: Bivariate count data; Common shock variable; Comonotonicity; Correlation; Counter-monotonicity; Positive quadrant dependence (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spl.2018.04.013

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