Invariance properties of random vectors and stochastic processes based on the zonoid concept

DOI10.3150/13-BEJ519zbMATH Open1312.60005arXiv1203.6085MaRDI QIDQ396000FDOQ396000

Authors: Michael Schmutz, Kaspar Stucki, Ilya S. Molchanov 

Publication date: 8 August 2014

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Two integrable random vectors $xi$ and $x{i}^{\ast }$ in $mathbb{R}^d$ are said to be zonoid equivalent if, for each $uinmathbb{R}^d$, the scalar products $langlexi,uangle$ and $langlex{i}^{\ast },uangle$ have the same first absolute moments. The paper analyses stochastic processes whose finite-dimensional distributions are zonoid equivalent with respect to time shift (zonoid stationarity) and permutation of its components (swap invariance). While the first concept is weaker than the stationarity, the second one is a weakening of the exchangeability property. It is shown that nonetheless the ergodic theorem holds for swap-invariant sequences and the limits are characterised.

Full work available at URL: https://arxiv.org/abs/1203.6085

Recommendations

• An invariance principle for weakly associated random vectors
• Generalized \(z\)-distributions and related stochastic processes
• scientific article; zbMATH DE number 2208906
• Some invariance principles for random vectors in the generalized domain of attraction of the multivariate normal law
• Strong invariance principles for partial sums of independent random vectors
• The invariance principle for associated random fields
• scientific article; zbMATH DE number 746175
• Invariance principles for self-similar set-indexed random fields
• An invariance principle for associated random fields

zbMATH Keywords

exchangeabilityisometryzonoidergodic theoremswap-invariance

Mathematics Subject Classification ID

Geometric probability and stochastic geometry (60D05) Stable stochastic processes (60G52) Exchangeability for stochastic processes (60G09)

Cites Work

• Title not available (Why is that?)
• Stationary max-stable fields associated to negative definite functions
• A spectral representation for max-stable processes
• On the structure of stationary stable processes
• Title not available (Why is that?)
• On the structure and representations of max-stable processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Theory of Random Sets
• Title not available (Why is that?)
• Convex geometry of max-stable distributions
• An introduction to the theory of point processes
• Data depth: multivariate statistics and geometry
• Multivariate dispersion, central regions and depth. The lift zonoid approach
• Extreme values of independent stochastic processes
• Stationary systems of Gaussian processes
• Stochastic integral representations and classification of sum- and max-infinitely divisible processes
• Zonoids induced by Gauss measure with an application to risk aversion
• Probabilistic Symmetries and Invariance Principles
• Convergence to a stable distribution via order statistics
• Esscher transform and the duality principle for multidimensional semimartingales
• Stationary min-stable stochastic processes
• Multivariate extension of put-call symmetry
• Lift zonoids, random convex hulls and the variability of random vectors
• Convex and star-shaped sets associated with multivariate stable distributions. I: Moments and densities
• On the spectral representation of symmetric stable processes
• Decomposition of stationary \(\alpha\)-stable random fields.
• On the association of sum- and max-stable processes
• Semi-static hedging for certain Margrabe-type options with barriers
• Exchangeability-type properties of asset prices
• Title not available (Why is that?)
• Put-call symmetry: extensions and applications
• Title not available (Why is that?)
• Title not available (Why is that?)
• Spectral representations of sum- and max-stable processes
• Symmetric martingales and symmetric smiles

Cited In (14)

• The robustness of the generalized Gini index
• Representations of \(\max\)-stable processes via exponential tilting
• Generalized Pickands constants and stationary max-stable processes
• On extremal index of max-stable random fields
• Expectation of a random submanifold: the zonoid section
• Shift-invariant homogeneous classes of random fields
• Max-stable random sup-measures with comonotonic tail dependence
• Lift zonoid and barycentric representation on a Banach space with a cylinder measure
• On idempotent \(D\)-norms
• Swap-invariant sequences and random measures
• Lift zonoid order and functional inequalities
• Lift expectations of random sets
• Diagonal Minkowski classes, zonoid equivalence, and stable laws
• Multivariate max-stable processes and homogeneous functionals

This page was built for publication: Invariance properties of random vectors and stochastic processes based on the zonoid concept

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q396000)