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ON A MULTIVARIATE EXPONENTIAL DISTRIBUTION BASED ON A D-VINE COPULA

Author(s)
Samia A. Adham Department of Statistics, Faculty of Science, King Abdul-Aziz University, Jeddah Saudi Arabia.
Azza I. Department of Statistics, Faculty of Science, King Abdul-Aziz University, Jeddah Saudi Arabia.
Alzahrani Department of Statistics, Faculty of Science, King Abdul-Aziz University, Jeddah Saudi Arabia.
Abstract
Exponential distributions have a pivotal role in the domain of reliability and life testing. The purpose of this paper is to construct a new multivariate exponential distribution based on the D-vine copula. Frank's copula from the Archimedean family and Gaussian copula from the elliptical family are implemented on the exponential distribution in the first stage. Then, the D-vine copula is applied in the second stage to construct a new multivariate exponential distribution. This paper focuses on Frank's and Gaussian copula and aimed at assessing the behavior of the association of the new multivariate distribution-parameters.
Publication Details
Page(s) 75-93
DOI DOI not available
Published Journal: Pakistan Journal of Statistics, Volume: 33, Issue: 2, Year: 2017

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Keywords
Simulation Study, exponential distribution, Bivariate Lifetime Copula, D-Vine, Multivariate Distribution
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