Marshall–Olkin Laplace transform copulas of multivariate gamma distributions

DOI10.1080/03610926.2017.1310241zbMath1388.62150OpenAlexW2600914044MaRDI QIDQ4638733

Philippe Bernardoff

Publication date: 27 April 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1310241

zbMATH Keywords

copulaLaplace transformexponential familiesgeneralized hypergeometric functioninfinitely divisible distributionKendall's tauHorn functionSpearman's rhocumulative distribution functiongeneralized Lauricella functionsmultivariate gamma distributionMarshall-Olkin Laplace transform copulamultifactor gamma distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characteristic functions; other transforms (60E10) Probability distributions: general theory (60E05)

Related Items

Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs ⋮ On infinitely divisible multivariate gamma distributions ⋮ On partially Schur-constant models and their associated copulas ⋮ Domain of existence of the Laplace transform of negative multinomial distributions and simulations

Uses Software

• CopulaModel

Cites Work

• An introduction to copulas.
• Which multivariate gamma distributions are infinitely divisible?
• The diagonal multivariate natural exponential families and their classification
• Dependence Modeling with Copulas
• Laplace transforms which are negative powers of quadratic polynomials
• A family of bivariate distributions with non-elliptical contours
• Families of Multivariate Distributions
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