One-Factor Lévy-Frailty Copulas with Inhomogeneous Trigger Rates
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.
KeywordsExtreme-value copula Non-exchangeable Lévy-frailty model
- 4.Mai J-F (2014) Multivariate exponential distributions with latent factor structure and related topics. Habilitation thesis, Technische Universität München, MünchenGoogle Scholar