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One-Factor Lévy-Frailty Copulas with Inhomogeneous Trigger Rates

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Book cover Soft Methods for Data Science (SMPS 2016)

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 456))

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Abstract

A new parametric family of high-dimensional , non-exchangeable extreme-value copulas is presented. The construction is based on the Lévy-frailty construction and stems from a subfamily of the Marshall–Olkin distribution. In contrast to the classical Lévy-frailty construction, non-exchangeability is achieved by inhomogeneous trigger-rate parameters. This family is studied with respect to its distributional properties and a sampling algorithm is developed. Moreover, a new estimator for its parameters is given. The estimation strategy consists in minimizing the mean squared error of the underlying Bernstein function and certain strongly consistent estimates thereof.

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Author information

Authors and Affiliations

  1. Technische Universität München, Garching-Hochbrück, Germany

    Janina Engel, Matthias Scherer & Leonhard Spiegelberg

Authors
  1. Janina Engel
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  2. Matthias Scherer
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  3. Leonhard Spiegelberg
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Corresponding author

Correspondence to Matthias Scherer .

Editor information

Editors and Affiliations

  1. Department of Statistical Sciences, Sapienza University of Rome, Rome, Italy

    Maria Brigida Ferraro

  2. Department of Statistical Sciences, Sapienza University of Rome, Roma, Italy

    Paolo Giordani

  3. Dept of Basic & Applied Sciences Engg, Sapienza University of Rome, Rome, Italy

    Barbara Vantaggi

  4. Dept of Stoc Metds,Polish Academy of Sci, Systems Research Institute, Warsaw, Poland

    Marek Gagolewski

  5. Dept of Statis&OR and MD, Univ de Oviedo, Oviedo, Spain

    María Ángeles Gil

  6. Dept of Stoc Metds,Polish Aca of Science, Systems Res Inst, Warsaw, Poland

    Przemysław Grzegorzewski

  7. Sys Res Inti, Dept of Stoch Methods, Polish Acadmy Sci in Warsaw, Warsaw, Poland

    Olgierd Hryniewicz

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Engel, J., Scherer, M., Spiegelberg, L. (2017). One-Factor Lévy-Frailty Copulas with Inhomogeneous Trigger Rates. In: Ferraro, M., et al. Soft Methods for Data Science. SMPS 2016. Advances in Intelligent Systems and Computing, vol 456. Springer, Cham. https://doi.org/10.1007/978-3-319-42972-4_26

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  • DOI: https://doi.org/10.1007/978-3-319-42972-4_26

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-42971-7

  • Online ISBN: 978-3-319-42972-4

  • eBook Packages: EngineeringEngineering (R0)

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