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Tail Dependence Comparison of Survival Marshall–Olkin Copulas

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  • Haijun Li

    (Washington State University
    Washington State University)

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.

Suggested Citation

  • Haijun Li, 2008. "Tail Dependence Comparison of Survival Marshall–Olkin Copulas," Methodology and Computing in Applied Probability, Springer, vol. 10(1), pages 39-54, March.
    • Handle: RePEc:spr:metcap:v:10:y:2008:i:1:d:10.1007_s11009-007-9037-3
    DOI: 10.1007/s11009-007-9037-3
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    References listed on IDEAS

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    1. Marco Scarsini & Pietro Muliere, 1987. "Characterization of a Marshall-Olkin type class of distributions," Post-Print hal-00542248, HAL.
    2. Susan H. Xu & Haijun Li, 2000. "Majorization of Weighted Trees: A New Tool to Study Correlated Stochastic Systems," Mathematics of Operations Research, INFORMS, vol. 25(2), pages 298-323, May.
    3. Rafael Schmidt, 2002. "Tail dependence for elliptically contoured distributions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 55(2), pages 301-327, May.
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    Cited by:

    1. Paul Ressel, 2013. "Finite Exchangeability, Lévy-Frailty Copulas and Higher-Order Monotonic Sequences," Journal of Theoretical Probability, Springer, vol. 26(3), pages 666-675, September.
    2. Haijun Li, 2018. "Operator Tail Dependence of Copulas," Methodology and Computing in Applied Probability, Springer, vol. 20(3), pages 1013-1027, September.
    3. Yuri Salazar Flores & Adán Díaz-Hernández, 2022. "The General Tail Dependence Function in the Marshall-Olkin and Other Parametric Copula Models with an Application to Financial Time Series," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(1), pages 146-187, May.

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