On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions

DOI10.1515/demo-2015-0003zbMath1323.60028OpenAlexW1235546280MaRDI QIDQ2351200

Matthias Scherer, Jan-Frederik Mai, German Bernhart

Publication date: 23 June 2015

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2015-0003

zbMATH Keywords

Bernstein functionsextreme-value copulasIDT processesIDT-frailty copulasMSMVE distributions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05) Portfolio theory (91G10)

Related Items (6)

The deFinetti representation of generalised Marshall-Olkin sequences ⋮ Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws ⋮ The infinite extendibility problem for exchangeable real-valued random vectors ⋮ Extreme-value copulas associated with the expected scaled maximum of independent random variables ⋮ Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences ⋮ Marshall–Olkin Machinery and Power Mixing: The Mixed Generalized Marshall–Olkin Distribution

Uses Software

• CopulaModel

Cites Work

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