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Exogenous shock models: analytical characterization and probabilistic construction

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  • Matthias Scherer

    (Technische Universität München)

  • Henrik Sloot

    (Technische Universität München)

Abstract

A new characterization for survival functions of multivariate failure-times arising in exogenous shock models with non-negative, continuous, and unbounded shocks is presented. These survival functions are the product of their ordered and individually transformed arguments. The involved transformations may depend on the specific order of the arguments and must fulfill a monotonicity condition. Conversely, every survival function of that form can be constructed using an exogenous shock model with independent and non-homogeneous shocks.

Suggested Citation

  • Matthias Scherer & Henrik Sloot, 2019. "Exogenous shock models: analytical characterization and probabilistic construction," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 82(8), pages 931-959, November.
    • Handle: RePEc:spr:metrik:v:82:y:2019:i:8:d:10.1007_s00184-019-00715-8
    DOI: 10.1007/s00184-019-00715-8
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    References listed on IDEAS

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    2. Brück, Florian, 2023. "Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences," Journal of Multivariate Analysis, Elsevier, vol. 193(C).

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