Stochastic monotonicity and Slepian-type inequalities for infinitely divisible and stable random vectors

DOI10.1214/AOP/1176989397MaRDI QIDQ2365740zbMATH OpenOpenAlexFDO

Authors Gennady Samorodnitsky, Murad S. Taqqu

Publication date 29 June 1993

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176989397

zbMATH Keywords

stabilitystable processesstochastic monotonicityinfinitely divisible random vectorsSlepian inequality

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Inequalities; stochastic orderings (60E15)

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Cited in

(17)

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• On generalised Piterbarg constants
• Extremes of \(\gamma\)-reflected Gaussian processes with stationary increments
• Approximation of maximum of Gaussian random fields
• Extremes of Gaussian chaos processes with trend
• Stochastic ordering of classical discrete distributions
• On some estimates based on sample behavior near high level excursions
• A remark on stochastic monotonicity
• Extremes of Gaussian random fields with regularly varying dependence structure
• Slepian's inequality, modularity and integral orderings
• Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
• Stochastic comparison for Lévy-type processes
• On characterization of multivariate stable distributions via random linear statistics
• Stochastic monotonicity and duality for one-dimensional Markov processes
• Stochastic comparison and preservation of positive correlations for Lévy-type processes
• Approximation of supremum of max-stable stationary processes \& Pickands constants
• Lévy measures of infinitely divisible random vectors and Slepian inequalities

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