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Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas
Dependence Modeling Arrival Times Sampling Archimedean Copula Gumbel-Hougaard Copula Marshall-Olkin Copula
2012/4/28
This paper deals with dependence across marginally exponentially distributed arrival times, such as default times in financial modeling or inter-failure times in reliability theory. We explore the rel...