Characterizations of Extreme Value Extended Marshall-Olkin Models with Exponential Marginals

  •  Nikolai Kolev    
  •  Jayme Pinto    


We construct and characterize bivariate extreme value distributions with exponential marginals generated by the stochastic representation (X1,X2) = (min(T1,T3), min(T2,T3)) where the random variable T3 is independent of random variables T1 and T2 which are assumed to be  dependent. A building procedure is suggested when the joint distribution of  (T1,T2) is absolutely continuous and Ti's are not necessarily exponentially distributed, i=1,2,3. The  Pickands representation of the vector (X1,X2) is computed. We illustrate the general relations by examples.

This work is licensed under a Creative Commons Attribution 4.0 License.
  • ISSN(Print): 1927-7032
  • ISSN(Online): 1927-7040
  • Started: 2012
  • Frequency: bimonthly

Journal Metrics

  • h-index (December 2021): 20
  • i10-index (December 2021): 51
  • h5-index (December 2021): N/A
  • h5-median(December 2021): N/A

( The data was calculated based on Google Scholar Citations. Click Here to Learn More. )