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math.ST updates on arXiv.org

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Copulas for maxmin systems
Matija Vidmar, Matjaž Omladič · 2015-12-30 · via math.ST updates on arXiv.org

Under a mild condition we give closed-form expressions for copulas of systems that consist of maxima and of minima of subvectors of a given random vector $X$ with continuous marginals. Said expressions appear explicit in the copula of $X$ and the mentioned condition is for example met when the law of $X$ admits a strictly positive density with respect to Lebesgue measure. In the i.i.d. case these "maxmin" copulae become universal and the conditions on their validity can be dropped entirely. Our main motivation comes from applications to shock models that arise in multivariate survival theory. Another application is to order statistics copulas.