Multivariate matrix Mittag-Leffler distributions

DOI10.1007/S10463-020-00750-7zbMATH Open1469.62258arXiv2003.10517OpenAlexW3013005830MaRDI QIDQ2042437FDOQ2042437

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)

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.

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

Recommendations

• Matrix Mittag-Leffler distributions and modeling heavy-tailed risks
• Multivariate fractional phase-type distributions
• Multivariate matrix-exponential distributions
• Multivariate Phase-Type Distributions
• Extreme behavior of multivariate phase-type distributions

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)

Cites Work

• Matrix-Exponential Distributions in Applied Probability
• Generalized Pareto copulas: a key to multivariate extremes
• Reinsurance. Actuarial and statistical aspects
• Statistics of Extremes
• Quantitative risk management. Concepts, techniques and tools
• Hidden regular variation, second order regular variation and asymptotic independence
• Title not available (Why is that?)
• Mittag-Leffler functions, related topics and applications
• A New Class of Multivariate Phase Type Distributions
• A versatile Markovian point process
• Marked point processes as limits of Markovian arrival streams
• Analytic and asymptotic properties of multivariate generalized Linnik's probability densities
• A characterization of multivariate regular variation.
• Copulas: Tales and facts (with discussion)
• Tail risk of multivariate regular variation
• An order-statistics-based method for constructing multivariate distributions with fixed margin\-als
• A multivariate Linnik distribution
• On the construction of bivariate exponential distributions with an arbitrary correlation coefficient
• Simulating Copulas
• Threshold selection for multivariate heavy-tailed data
• On some properties of bivariate exponential distributions
• Matrix Mittag-Leffler distributions and modeling heavy-tailed risks
• Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution

Cited In (10)

• Multivariate matrix-exponential distributions
• Tempered positive Linnik processes and their representations
• Penalised likelihood methods for phase-type dimension selection
• A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling
• Phase-type distributions for claim severity regression modeling
• Heavy-tailed phase-type distributions: a unified approach
• Matrix Mittag-Leffler distributions and modeling heavy-tailed risks
• Multivariate fractional phase-type distributions
• On the Semi-Mittag-Leffler Distributions
• Fractional inhomogeneous multi-state models in life insurance

This page was built for publication: Multivariate matrix Mittag-Leffler distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2042437)