Hoeffding–Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application
The paper investigates the Hoeffding–Sobol decomposition of homogeneous co-survival functions. For this class, the Choquet representation is transferred to the terms of the functional decomposition, and in addition to their individual variances, or to the superset combinations of those. The domain o...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2021-09-01
|
| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2021-0108 |