Abstract
In this paper, we consider a new family of multivariate copulas described by a sequence of functions, named as AMO copula. The set of AMO copulas corresponds to a class of multivariate shock models with the Archimedean type of dependence. Sufficient conditions on the involved sequence of functions to obtain a multivariate copula are given and the probabilistic structure of the AMO copula is provided. We show that the family of AMO copulas is a generalization of Archimedean and Marshall-Olkin copulas family, and it includes some well-known copulas as specific cases. An alternative method for generating random vectors from AMO copulas via distortion functions is provided. In addition, a singular component along the main diagonal of the AMO copula is also verified. Finally, the tail behaviors of AMO copulas are discussed and some numerical illustrations are provided.
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