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Tail Dependence Comparison of Survival Marshall–Olkin Copulas

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Abstract

The multivariate tail dependence describes the amount of dependence in the upper-orthant tail or lower-orthant tail of a multivariate distribution and can be used in the study of dependence among extreme values. We derive an explicit expression of tail dependence of multivariate survival Marshall–Olkin copulas, and obtain a sufficient condition under which tail dependencies of two survival Marshall–Olkin copulas can be compared. Some examples are also presented to illustrate our results.

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Authors and Affiliations

  1. Department of Mathematics, Washington State University, Pullman, WA, 99164, USA

    Haijun Li

  2. Department of Statistics, Washington State University, Pullman, WA, 99164, USA

    Haijun Li

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  1. Haijun Li
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Correspondence to Haijun Li.

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Li, H. Tail Dependence Comparison of Survival Marshall–Olkin Copulas. Methodol Comput Appl Probab 10, 39–54 (2008). https://doi.org/10.1007/s11009-007-9037-3

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  • DOI: https://doi.org/10.1007/s11009-007-9037-3

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