Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time

DOI10.1007/S10687-013-0175-4zbMATH Open1310.62072OpenAlexW2039391475MaRDI QIDQ483517FDOQ483517

Authors: Jan-Frederik Mai, Matthias Scherer 

Publication date: 17 December 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-013-0175-4

Recommendations

• Functionals of infinitely divisible stochastic processes with exponential tails
• On distributions of exponential functionals of the processes with independent increments
• On characterization of the exponential distribution via hypoexponential distributions
• Extremal theory for long range dependent infinitely divisible processes
• scientific article; zbMATH DE number 1990006
• On an extension of min-semistable distributions
• On infinitely divisible distributions with polynomially decaying characteristic functions
• scientific article; zbMATH DE number 4143226

zbMATH Keywords

extreme-value copulaBernstein functionde Finetti's theoremdistribution with exponential minimaIDT processMSMVE distribution

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Title not available (Why is that?)
• Tails of multivariate Archimedean copulas
• Families of min-stable multivariate exponential and multivariate extreme value distributions
• A probabilistic interpretation of complete monotonicity
• Families of Multivariate Distributions
• A Multivariate Exponential Distribution
• Lévy-frailty copulas
• Reparameterizing Marshall–Olkin copulas with applications to sampling
• Moments of convex distribution functions and completely alternating sequences
• Bernstein functions. Theory and applications
• Multivariate exponential and geometric distributions with limited memory
• Title not available (Why is that?)
• \(H\)-extendible copulas
• Uses of exchangeability
• École d'été de probabilités de Saint-Flour XIII - 1983
• A continuous general multivariate distribution and its properties
• How rich is the class of processes which are infinitely divisible with respect to time?
• IDT processes and associated Lévy processes with explicit constructions
• Order Statistics of Samples from Multivariate Distributions
• A characterization of Gumbel's family of extreme value distributions
• On random sequences with spherical symmetry
• Orthant tail dependence of multivariate extreme value distributions
• Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
• A generic one-factor Lévy model for pricing synthetic CDOs
• Multivariate distributions with exponential minimums
• Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws
• Multivariate extreme‐value distributions with applications to environmental data

Cited In (12)

• The infinite extendibility problem for exchangeable real-valued random vectors
• Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences
• The deFinetti representation of generalised Marshall-Olkin sequences
• Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes
• Subordinators which are infinitely divisible w.r.t. time: construction, properties, and simulation of max-stable sequences and infinitely divisible laws
• A survey of dynamic representations and generalizations of the Marshall-Olkin distribution
• Canonical spectral representation for exchangeable max-stable sequences
• On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions
• Extreme-value copulas associated with the expected scaled maximum of independent random variables
• On the structure of exchangeable extreme-value copulas
• IDT processes and associated Lévy processes with explicit constructions
• Sharp bounds on the survival function of exchangeable min-stable multivariate exponential sequences

This page was built for publication: Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q483517)