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Multivariate Survival Functions with a Min-Stable Property

✍ Scribed by Harry Joe; Chunsheng Ma

Publisher: Elsevier Science
Year: 2000
Tongue: English
Weight: 187 KB
Volume: 75
Category: Article
ISSN: 0047-259X
DOI: 10.1006/jmva.1999.1891

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✦ Synopsis

This paper introduces and studies a class of multivariate survival functions with given univariate marginal G 0 , called min-stable multivariate G 0 -distributions, which includes min-stable multivariate exponential distributions as a special case. The representation of the form of Pickands ( ) is derived, and some dependence and other properties of the class are given. The functional form of the class is G 0 (A), where A is a homogeneous function on R n + . Conditions are obtained for G 0 and A so that a proper multivariate survival function obtains. Interesting special cases are studied including the case where G 0 is a Gamma distribution.

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