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)
PDF
Author's Accepted Manuscript
Language: English |
|
Download this file (PDF/653kB) |
|
Request a format suitable for use with assistive technology e.g. a screenreader | |
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 > Department of Analytics, Operations and Systems |
Depositing User: | Shaomin Wu |
Date Deposited: | 14 Mar 2014 09:43 UTC |
Last Modified: | 08 Dec 2022 21:35 UTC |
Resource URI: | https://kar.kent.ac.uk/id/eprint/38763 (The current URI for this page, for reference purposes) |
- Link to SensusAccess
- Export to:
- RefWorks
- EPrints3 XML
- BibTeX
- CSV
- Depositors only (login required):