Moment-based estimation of extendible Marshall-Olkin copulas
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Publication:1936667
DOI10.1007/s00184-011-0344-xzbMath1362.62122OpenAlexW1989901697MaRDI QIDQ1936667
Jan-Frederik Mai, Christian Hering
Publication date: 6 February 2013
Published in: Metrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00184-011-0344-x
Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Related Items (5)
\textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe ⋮ Sampling Exchangeable and Hierarchical Marshall-Olkin Distributions ⋮ Limit distributions of the upper order statistics for the Lévy-frailty Marshall-Olkin distribution ⋮ A method of moments to estimate bivariate survival functions: the copula approach ⋮ A new approach to measure systemic risk: a bivariate copula model for dependent censored data
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