Exchangeability and Infinite Divisibility

DOI10.1007/978-3-319-25826-3_6MaRDI QIDQ2956049zbMATH OpenOpenAlexFDO

Authors Martin Drapatz, Alexander Lindner

Publication date 16 January 2017

Published in The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-25826-3_6

zbMATH Keywords

exchangeabilityexchangeability preserving transformationinfinitely divisible distributionLévy copulaOrnstein-Uhlenbeck processrandom recurrence equationupsilon-transform

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Exchangeability for stochastic processes (60G09) Processes with independent increments; Lévy processes (60G51)

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Cites work

• Additive processes and stochastic integrals
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Conditional distributions and characterizations of multivariate stable distribution
• Contraction principle for tail probabilities of sums of exchangeable random vectors with multipliers
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 1076783 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Large deviations for a triangular array of exchangeable random variables.
• Linear transformations that preserve majorization, Schur concavity, and exchangeability
• Lévy Copulas: Dynamics and Transforms of Upsilon Type
• Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
• Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
• Strict stationarity of generalized autoregressive processes
• Strictly stationary solutions of multivariate ARMA equations with i.i.d. noise
• Structure of exchangeable infinitely divisible sequences of Poisson random vectors
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Transformations which preserve exchangeability and application to permutation tests

Cited in

(2)

• Infinite divisibility
• Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes

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