Generalized multivariate Gumbel distributions — Dependence, aging properties and applications

Rui Fang, Xiaohu Li, Linxiong Li

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

This paper introduces a generalized multivariate Gumbel (GMG) distribution using a survival copula. Various dependence properties of the GMG distribution and some analytical properties of the generators of the GMG distribution are studied. Furthermore, the authors also investigate the dependence behavior of the residual lifetime vector of the GMG distribution. As an illustration, the GMG distribution is applied to fit a real data set.

Original languageEnglish
Pages (from-to)1752-1772
Number of pages21
JournalJournal of Systems Science and Complexity
Volume29
Issue number6
DOIs
StatePublished - 1 Dec 2016

Keywords

  • Coefficient of orthant dependence
  • residual lifetime vector
  • survival copula
  • upper orthant order

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