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Construction of asymmetric copulas and its application in two-dimensional reliability modelling

Wu, Shaomin (2014) Construction of asymmetric copulas and its application in two-dimensional reliability modelling. European Journal of Operational Research, 238 (2). pp. 476-485. ISSN 0377-2217. (doi:10.1016/j.ejor.2014.03.016) (KAR id:38763)

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Official URL
http://dx.doi.org/10.1016/j.ejor.2014.03.016

Abstract

Copulas offer a useful tool in modelling the dependence among random variables. In the literature, most of the existing copulas are symmetric while data collected from the real world may exhibit asymmetric nature. This necessitates developing asymmetric copulas that can model such data. In the meantime, existing methods of modelling two-dimensional reliability data are not able to capture the tail dependence that exists between the pair of age and usage, which are the two dimensions designated to describe product life. This paper proposes two new methods of constructing asymmetric copulas, discusses the properties of the new copulas, and applies the method to fit two-dimensional reliability data that are collected from the real world.

Item Type: Article
DOI/Identification number: 10.1016/j.ejor.2014.03.016
Uncontrolled keywords: copula, tail dependence, warranty, two-dimensional reliability data, asymmetric.
Subjects: H Social Sciences > HA Statistics > HA33 Management Science
Divisions: Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User: Shaomin Wu
Date Deposited: 14 Mar 2014 09:43 UTC
Last Modified: 16 Feb 2021 12:52 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/38763 (The current URI for this page, for reference purposes)
Wu, Shaomin: https://orcid.org/0000-0001-9786-3213
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