Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/93224
Authors: 
Durante, Fabrizio
Okhrin, Ostap
Year of Publication: 
2014
Series/Report no.: 
SFB 649 Discussion Paper 2014-014
Abstract: 
Complex phenomena in environmental sciences can be conveniently represented by several inter-dependent random variables. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we consider a novel family of bivariate copulas, called exchangeable Marshall copulas. Such copulas describe both positive and (upper) tail association between random variables. Speci cally, inference procedures for the family of exchangeable Marshall copulas are introduced, based on the estimation of their (univariate) generator. Moreover, the performance of the proposed methodologies is shown in a simulation study. Finally, an illustration describes how the proposed procedures can be useful in a hydrological application.
Subjects: 
Copula
Kendall distribution
Marshall-Olkin distribution
Non-parametric Estimation
Risk Management
JEL: 
C13
C14
Document Type: 
Working Paper

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