arXiv Open Access 2025

Marshall-Olkin copulas revisited

Tomaž Košir Petra Lazić Matjaž Omladič

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Abstrak

Almost seventy years old Marshall-Olkin copulas, then wider Marshall copulas, and finally even wider shock model (SM) copulas constitute a substantial part of nowadays copula theory due to numerous applications. Recently, Christian Genest with some coauthors introduced a new stochastic model for a special subclass of SM copulas which gives not only a new angle on these copulas but also widens the range of applications. In this paper we extend this type of stochastic model to all known subclasses of SM copulas. We also introduce a novel class of SM copulas and extend the new stochastic model to this class as well.

Topik & Kata Kunci

math.ST

Penulis (3)

Tomaž Košir

Petra Lazić

Matjaž Omladič

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APA MLA BibTeX

Košir, T., Lazić, P., Omladič, M. (2025). Marshall-Olkin copulas revisited. https://arxiv.org/abs/2512.12265

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Tahun Terbit: 2025
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓