Archimedean-based Marshall-Olkin Distributions and Related Copula Functions

Sabrina Mulinacci

Papers from arXiv.org

Abstract: A new class of bivariate distributions is introduced that extends the Generalized Marshall-Olkin distributions of Li and Pellerey (2011). Their dependence structure is studied through the analysis of the copula functions that they induce. These copulas, that include as special cases the Generalized Marshall-Olkin copulas and the Scale Mixture of Marshall-Olkin copulas (see Li, 2009),are obtained through suitable distortions of bivariate Archimedean copulas: this induces asymmetry, and the corresponding Kendall's tau as well as the tail dependence parameters are studied.

Date: 2015-02
New Economics Papers: this item is included in nep-ecm
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