Generalized multivariate Gumbel distributions — Dependence, aging properties and applications
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- 作者：Rui Fang ; Xiaohu Li ; Linxiong Li
- 关键词：Coefficient of orthant dependence ; residual lifetime vector ; survival copula ; upper orthant order
- 刊名：Journal of Systems Science and Complexity
- 出版年：2016
- 出版时间：December 2016
- 年：2016
- 卷：29
- 期：6
- 页码：1752-1772
- 全文大小：
- 刊物类别：Mathematics and Statistics
- 刊物主题：Systems Theory, Control; Operation Research/Decision Theory; Mathematics of Computing; Complex Systems; Statistics, general;
- 出版者：Academy of Mathematics and Systems Science, Chinese Academy of Sciences
- ISSN：1559-7067
- 卷排序：29
文摘
This paper introduces a generalized multivariate Gumbel (GMG) distribution using a survival copula. Various dependence properties of the GMG distribution and some analytical properties of the generators of the GMG distribution are studied. Furthermore, the authors also investigate the dependence behavior of the residual lifetime vector of the GMG distribution. As an illustration, the GMG distribution is applied to fit a real data set.