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

DOI10.1007/s10687-013-0175-4zbMath1310.62072OpenAlexW2039391475MaRDI QIDQ483517

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

zbMATH Keywords

de Finetti's theoremBernstein functionextreme-value copuladistribution with exponential minimaIDT processMSMVE distribution

Mathematics Subject Classification ID

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

Related Items (10)

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 ⋮ Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes ⋮ On the structure of exchangeable extreme-value copulas ⋮ The infinite extendibility problem for exchangeable real-valued random vectors ⋮ Extreme-value copulas associated with the expected scaled maximum of independent random variables ⋮ Canonical spectral representation for exchangeable max-stable sequences ⋮ Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences ⋮ On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions ⋮ A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution

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