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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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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