How exceptional is the extremal Kendall and Kendall-type convolution
From MaRDI portal
Publication:6076664
Abstract: This paper deals with the generalized convolutions connected with the Williamson transform and the maximum operation. We focus on such convolutions which can define transition probabilities of renewal processes. They should be monotonic since the described time or destruction does not go back, it should admit existence of a distribution with a lack of memory property because the analog of the Poisson process shall exist. Another valuable property is the simplicity of calculating and inverting the corresponding generalized characteristic function (in particular Williamson transform) so that the technique of generalized characteristic function can be used in description of our processes. The convex linear combination property (the generalized convolution of two point measures is the convex combination of several fixed measures), or representability (which means that the generalized convolution can be easily written in the language of independent random variables) - they also facilitate the modeling of real processes in that language. We describe examples of generalized convolutions having the required properties ranging from the maximum convolution and its simplest generalization - the Kendall convolution (associated with the Williamson transform), up to the most complicated here - Kingman convolution. It is novel approach to apply in the extreme value theory. Stochastic representation of the Kucharczak-Urbanik in the order statistics terms is proved, which open new paths to investigate Archimedean copulas. This paper open the door to solve an old open problem of the relationship between copulas and generalized convolutions mentioned by B. Schweizer and A. Sklar in 1983. This indicates the path of further research towards extremes and dependency modelling.
Recommendations
Cites work
- Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
- Asymptotic properties of extremal Markov processes driven by Kendall convolution
- Classes of measures closed under mixing and convolution. Weak stability
- Classical definitions of the Poisson process do not coincide in the case of generalized convolutions
- Convolution and Hypergroup Structures Associated with a Class of Sturm- Liouville Systems
- Delphic semi-groups, infinitely divisible regenerative phenomena, and the arithmetic of p-functions
- Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
- Every symmetric weakly-stable random vector is pseudo-isotropic
- Extremal behavior of Archimedean copulas
- Factorization Theory and Domains of Attraction for Generalized Convolution Algebras
- From Archimedean to Liouville copulas
- Generalized convolutions
- Generalized convolutions and delphic semigroups
- Generalized convolutions and the Levi-Civita functional equation
- Generalized convolutions II
- Generalized convolutions III
- Generalized convolutions IV
- scientific article; zbMATH DE number 3870293 (Why is no real title available?)
- scientific article; zbMATH DE number 4161768 (Why is no real title available?)
- scientific article; zbMATH DE number 3986266 (Why is no real title available?)
- scientific article; zbMATH DE number 3569481 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 639815 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1122116 (Why is no real title available?)
- scientific article; zbMATH DE number 1149608 (Why is no real title available?)
- scientific article; zbMATH DE number 1975230 (Why is no real title available?)
- scientific article; zbMATH DE number 3306239 (Why is no real title available?)
- scientific article; zbMATH DE number 7639711 (Why is no real title available?)
- Kendall random walk, Williamson transform, and the corresponding Wiener-Hopf factorization
- Kendall random walks
- Lévy processes and stochastic integrals in the sense of generalized convolutions
- Lévy processes with respect to the Whittaker convolution
- Markov property in discrete Schur-constant models
- Multiply monotone functions and their Laplace transforms
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- On \((c,p)\)-pseudostable random variables
- On a theorem of Kłosowska about generalised convolutions
- On some connections between random partitions of the unit segment and the Poisson process
- On the product formula and convolution associated with the index Whittaker transform
- On the uniqueness of the Kendall generalized convolution
- On weak generalized stability and \((c,d)\)-pseudostable random variables via functional equations
- On weak generalized stability of random variables via functional equations
- Order Statistics
- Partially Schur-constant models
- Random walks with spherical symmetry
- Renewal theory for extremal Markov sequences of Kendall type
- Slash distributions, generalized convolutions, and extremes
- Switching Order Statistics through Random Power Contractions
- The class of multivariate max-id copulas with \(\ell_{1}\)-norm symmetric exponent measure
- The Urbanik generalized convolutions in the non-commutative probability and a forgotten method of constructing generalized convolution
- Weak Lévy-Khintchine representation for weak infinite divisibility
Cited in
(5)- Kendall random walks
- Renewal theory for extremal Markov sequences of Kendall type
- scientific article; zbMATH DE number 7639711 (Why is no real title available?)
- Asymptotic properties of extremal Markov processes driven by Kendall convolution
- Kendall random walk, Williamson transform, and the corresponding Wiener-Hopf factorization
This page was built for publication: How exceptional is the extremal Kendall and Kendall-type convolution
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6076664)
