AbstractA parametric family of n-dimensional extreme-value copulas of Marshall–Olkin type is introduced. Members of this class arise as survival copulas in Lévy-frailty models. The underlying probabilistic construction introduces dependence to initially independent exponential random variables by means of first-passage times of a Lévy subordinator. Jumps of the subordinator correspond to a singular component of the copula. Additionally, a characterization of completely monotone sequences via the introduced family of copulas is derived. An alternative characterization is given by Hausdorff’s moment problem in terms of random variables with compact support. The resulting correspondence between random variables, Lévy subordinators, and copulas...
In this paper we extend the standard approach of correlation structure analysis in order to reduce t...
AbstractA probabilistic interpretation for hierarchical Archimedean copulas based on Lévy subordinat...
A new class of copulas referred to as ''Sibuya copulas'' is introduced and its properties are invest...
AbstractA parametric family of n-dimensional extreme-value copulas of Marshall–Olkin type is introdu...
We present a general construction principle for copulas that is inspired by the celebrated Marshall–...
International audienceWe present a general construction principle for copulas that is inspired by th...
A complete and user-friendly directory of tails of Archimedean copulas is presented which can be use...
Being the limits of copulas of componentwise maxima in independent random samples, extreme-value cop...
Archimedean copulas form a prominent class of copulas which lead to the construction of multivariate...
Whenever multivariate data has to be modelled, a copula approach naturally comes into play. As a dis...
Lévy processes and infinitely divisible distributions are increasingly defined in terms of their Lév...
International audienceCopulas are a useful tool to model multivariate distributions. While there exi...
The use of the exponential distribution and its multivariate generalizations is extremely popular in...
In order to characterize the dependence of extreme risk, the concept of tail dependence for bivariat...
For the analysis of clustered survival data, two different types of model that take the association ...
In this paper we extend the standard approach of correlation structure analysis in order to reduce t...
AbstractA probabilistic interpretation for hierarchical Archimedean copulas based on Lévy subordinat...
A new class of copulas referred to as ''Sibuya copulas'' is introduced and its properties are invest...
AbstractA parametric family of n-dimensional extreme-value copulas of Marshall–Olkin type is introdu...
We present a general construction principle for copulas that is inspired by the celebrated Marshall–...
International audienceWe present a general construction principle for copulas that is inspired by th...
A complete and user-friendly directory of tails of Archimedean copulas is presented which can be use...
Being the limits of copulas of componentwise maxima in independent random samples, extreme-value cop...
Archimedean copulas form a prominent class of copulas which lead to the construction of multivariate...
Whenever multivariate data has to be modelled, a copula approach naturally comes into play. As a dis...
Lévy processes and infinitely divisible distributions are increasingly defined in terms of their Lév...
International audienceCopulas are a useful tool to model multivariate distributions. While there exi...
The use of the exponential distribution and its multivariate generalizations is extremely popular in...
In order to characterize the dependence of extreme risk, the concept of tail dependence for bivariat...
For the analysis of clustered survival data, two different types of model that take the association ...
In this paper we extend the standard approach of correlation structure analysis in order to reduce t...
AbstractA probabilistic interpretation for hierarchical Archimedean copulas based on Lévy subordinat...
A new class of copulas referred to as ''Sibuya copulas'' is introduced and its properties are invest...