Parametric and non-parametric estimate of bivariate survival functions: the copula approach

Risultato della ricerca: Contributo in libroContributo a convegno

Abstract

In this paper we discuss the problem on parametric and non parametric estimation of the distributions generated by the Marshall-Olkin copula. This copula comes from the Marshall-Olkin bivariate exponential distribution used in reliability analysis. Through this copula we can extend the Marshall-Olkin distribution in order to construct several bivariate survival functions. The cumulative distribution functions of these distributions are not absolute continuous functions and they unknown parameters are often not be obtained in explicit form. In particular we consider the IFM method to find the Marshall-Olkin copula estimator, presenting the copula likelihood function. We compare this procedure with a non parametric estimator of the copula, the bivariate empirical copula, used to evaluate the copula goodness of fit. The estimate procedures described are verified through several simulation. One data-set is analyzed for a illustrative purpose.
Lingua originaleEnglish
Titolo della pubblicazione ospiteConference proceeding of XLV Riunione Scientifica della Società Italiana di Statistica
Pagine1-8
Numero di pagine8
Stato di pubblicazionePubblicato - 2010
EventoXLV scientific meeting of the Italian Statistical Society - Padova
Durata: 16 giu 201018 giu 2010

Convegno

ConvegnoXLV scientific meeting of the Italian Statistical Society
CittàPadova
Periodo16/6/1018/6/10

Keywords

  • Empirical Copula
  • Marshall-Olkin copula
  • Reliability analysis

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