The Pickands representation of survival Marshall-Olkin copulas

Jan-Frederik Mai and Matthias Scherer

Statistics & Probability Letters, 2010, vol. 80, issue 5-6, 357-360

Abstract: The Pickands representation of an arbitrary survival Marshall-Olkin copula is computed. In dimension d>=2, the corresponding dependence measure is discrete with support consisting of 2d-1 atoms on the d-dimensional unit simplex.

Date: 2010
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