On a family of multivariate copulas for aggregation processes
Information Sciences: an International Journal
Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions
Information Sciences: an International Journal
New constructions of diagonal patchwork copulas
Information Sciences: an International Journal
Journal of Multivariate Analysis
Journal of Multivariate Analysis
Journal of Multivariate Analysis
d-Dimensional dependence functions and Archimax copulas
Fuzzy Sets and Systems
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A parametric family of n-dimensional extreme-value copulas of Marshall-Olkin type is introduced. Members of this class arise as survival copulas in Levy-frailty models. The underlying probabilistic construction introduces dependence to initially independent exponential random variables by means of first-passage times of a Levy subordinator. Jumps of the subordinator correspond to a singular component of the copula. Additionally, a characterization of completely monotone sequences via the introduced family of copulas is derived. An alternative characterization is given by Hausdorff's moment problem in terms of random variables with compact support. The resulting correspondence between random variables, Levy subordinators, and copulas is studied and illustrated with several examples. Finally, it is used to provide a general methodology for sampling the copula in many cases. The new class is shown to share some properties with Archimedean copulas regarding construction and analytical form. Finally, the parametric form allows us to compute different measures of dependence and the Pickands representation.