Tail Dependence Comparison of Survival Marshall–Olkin Copulas

Haijun Li ()
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Haijun Li: Washington State University

Methodology and Computing in Applied Probability, 2008, vol. 10, issue 1, 39-54

Abstract: 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.

Keywords: Marshall–Olkin distribution; Copula; Tail dependence; Pairwise IE transform; 62H20; 62P05 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s11009-007-9037-3

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