Multivariate matrix Mittag-Leffler distributions

DOI10.1007/S10463-020-00750-7MaRDI QIDQ2042437zbMATH OpenOpenAlexFDO

Authors Martin Bladt, Mogens Bladt, Hansjörg Albrecher

Publication date 20 July 2021

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.10517

zbMATH Keywords

heavy tailsmultivariate distributionMarkov processextremesLaplace transformsMittag-Leffler distributionmatrix distributionphase-type

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Large deviations (60F10) Statistics of extreme values; tail inference (62G32)

Abstract: We extend the construction principle of multivariate phase-type distributions to establish an analytically tractable class of heavy-tailed multivariate random variables whose marginal distributions are of Mittag-Leffler type with arbitrary index of regular variation. The construction can essentially be seen as allowing a scalar parameter to become matrix-valued. The class of distributions is shown to be dense among all multivariate positive random variables and hence provides a versatile candidate for the modelling of heavy-tailed, but tail-independent, risks in various fields of application.

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Cited in

(10)

• Heavy-tailed phase-type distributions: a unified approach
• Multivariate fractional phase-type distributions
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