MAXIMUM LIKELIHOOD ESTIMATE OF MARSHALL-OLKIN COPULA PARAMETER: COMPLETE AND CENSORED SAMPLE

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Abstract

The aim of this paper is the derivation of the maximum likelihood estimators of the Marshal-Olkin copula. This copula comes from the Marshall-Olkin Bivariate Exponential (MOBE) distribution, that has been proposed in reliability analysis to study complex systems in which the components are not independent and it is also used in the extreme value theory. We find the likelihood estimators considering the cases of complete and Type-II censored samples. The Marshall-Olkin copula likelihood function is presented in both cases. A simulation study in the particular context of the MOBE shows the properties of the proposed estimators for full or censored data. Finally, we analyze some data sets for illustrative purpose.
Lingua originaleEnglish
pagine (da-a)1-33
Numero di pagine33
RivistaSTATISTICA APPLICATA
Volume2012
Stato di pubblicazionePubblicato - 2012

Keywords

  • copula

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