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Generalized multivariate Gumbel distributions — Dependence, aging properties and applications

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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.

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Author information

Authors and Affiliations

  1. Department of Mathematics, Shantou University, Shantou, 515063, China

    Rui Fang

  2. Department of Mathematical Sciences, Stevens Institute of Technology, Hoboken, NJ, 07030, USA

    Xiaohu Li

  3. Department of Mathematics, University of New Orleans, New Orleans, LA, 70148, USA

    Linxiong Li

Authors
  1. Rui Fang
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  2. Xiaohu Li
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  3. Linxiong Li
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Corresponding author

Correspondence to Rui Fang.

Additional information

This research was supported by STU Scientific Research Foundation for Talents under Grant No. NTF15002, STU Natural Science Foundation for Young Scientists under Grant No. YR15002, Guangdong Natural Science Foundation under Grant No. 2016A030310076, and Scientific Research Funds of Department of Education of Guangdong Province under Grant No. 2015KQNCX043.

This paper was recommended for publication by Editor LARSEN Michael.

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Fang, R., Li, X. & Li, L. Generalized multivariate Gumbel distributions — Dependence, aging properties and applications. J Syst Sci Complex 29, 1752–1772 (2016). https://doi.org/10.1007/s11424-016-4272-8

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  • DOI: https://doi.org/10.1007/s11424-016-4272-8

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