The deFinetti representation of generalised Marshall-Olkin sequences

DOI10.1515/DEMO-2020-0006MaRDI QIDQ828056zbMATH OpenOpenAlexFDO

Authors Henrik Sloot

Publication date 14 January 2021

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2020-0006

zbMATH Keywords

survival analysisstochastic processesMarshall-Olkinshock modelde Finetti

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Exchangeability for stochastic processes (60G09)

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Cites work

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• Exchangeable exogenous shock models
• Generalized Marshall-Olkin distributions and related bivariate aging properties
• Lévy Processes and Stochastic Calculus
• Lévy-frailty copulas
• Moments of convex distribution functions and completely alternating sequences
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• On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions
• On the distributional transform, Sklar's theorem, and the empirical copula process
• Sampling exchangeable and hierarchical Marshall-Olkin distributions
• Simulating Copulas
• Two novel characterizations of self-decomposability on the half-line

Cited in

(4)

• The infinite extendibility problem for exchangeable real-valued random vectors
• Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes
• Implementing Markovian models for extendible Marshall-Olkin distributions
• A primer on the characterization of the exchangeable Marshall-Olkin copula via monotone sequences

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