Integrability conditions for compound random measures

DOI10.1016/J.SPL.2017.11.005MaRDI QIDQ1650288zbMATH OpenOpenAlexFDO

Authors Alan Riva Palacio, Fabrizio Leisen

Publication date 3 July 2018

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1707.06768, https://kar.kent.ac.uk/65669/1/ArxivRevised.pdf

zbMATH Keywords

partial exchangeabilityexchangeable partition probability functionBayesian non-parametricsmultivariate Lévy measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random measures (60G57) Exchangeability for stochastic processes (60G09)

Abstract: Compound random measures (CoRM's) are a flexible and tractable framework for vectors of completely random measure. In this paper, we provide conditions to guarantee the existence of a CoRM. Furthermore, we prove some interesting properties of CoRM's when exponential scores and regularly varying L'evy intensities are considered.

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Cited in

(4)

• Compactly uniform Bochner integrability of random elements
• Compound vectors of subordinators and their associated positive Lévy copulas
• Conditional expectation of integrands and random sets
• A necessary and sufficient condition for differentiability of integrals of random measures in \(R^ n\) over \(n\)-dimensional intervals

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