Geometric Gamma Max-Infinitely Divisible Models

MaRDI QIDQ6208100zbMATH OpenFDO

Authors S. Satheesh, E. Sandhya

Publication date 14 January 2008

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: A transformation of gamma max-infinitely divisible laws viz. geometric gamma max-infinitely divisible laws is considered in this paper. Some of its distributional and divisibility properties are discussed and a random time changed extremal process corresponding to this distribution is presented. A new kind of invariance (stability) under geometric maxima is proved and a max-AR(1) model corresponding to it is also discussed.

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