Title: Marshall–Olkin Laplace transform copulas of multivariate gamma distributions
Abstract:This article provides two copula families on [0, 1]n obtained from the Laplace transforms of the multivariate gamma distribution and the multifactor gamma distribution given by and , respectively, whe...This article provides two copula families on [0, 1]n obtained from the Laplace transforms of the multivariate gamma distribution and the multifactor gamma distribution given by and , respectively, where P is an affine polynomial with respect to the n variables θ1, …, θn.These copulas allow in particular to obtain multivariate gamma distributions for which the cumulative distribution functions and the probability distribution functions are known.Read More
Publication Year: 2017
Publication Date: 2017-03-31
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
Cited By Count: 4
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