Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws
From MaRDI portal
Publication:5235487
zbMath1488.60123arXiv1810.06379MaRDI QIDQ5235487
Jan-Frederik Mai, Matthias Scherer
Publication date: 11 October 2019
Full work available at URL: https://arxiv.org/abs/1810.06379
subordinatorPickands dependence functionBernstein functioninfinitely divisible lawBondesson classstrong infinitely divisible w.r.t. time
Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70) Exchangeability for stochastic processes (60G09)
Related Items (6)
The de Finetti structure behind some norm-symmetric multivariate densities with exponential decay ⋮ About the exact simulation of bivariate (reciprocal) Archimax copulas ⋮ Generalized Cox model for default times ⋮ Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes ⋮ The infinite extendibility problem for exchangeable real-valued random vectors ⋮ Canonical spectral representation for exchangeable max-stable sequences
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Homogeneous distributions -- and a spectral representation of classical mean values and stable tail dependence functions
- Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time
- Quantile clocks
- An introduction to copulas.
- Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples
- Lévy-frailty copulas
- Models for stationary max-stable random fields
- Extreme-value copulas associated with the expected scaled maximum of independent random variables
- Regenerative composition structures
- Canonical spectral representation for exchangeable max-stable sequences
- On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions
- How rich is the class of processes which are infinitely divisible with respect to time?
- Exponential functionals of L\'evy processes with jumps
- Reparameterizing Marshall–Olkin copulas with applications to sampling
- Integrating Volatility Clustering Into Exponential Lévy Models
- Bivariate Exponential Distributions
- Bivariate Logistic Distributions
- Moments of convex distribution functions and completely alternating sequences
- A continuous general multivariate distribution and its properties
- Classes of infinitely divisible distributions and densities
- On simulation from infinitely divisible distributions
- Order Statistics of Samples from Multivariate Distributions
- Limit theory for multivariate sample extremes
- Series Representation of Time-Stable Stochastic Processes
- Simulating Copulas
- Exact simulation of max-stable processes
- IDT processes and associated Lévy processes with explicit constructions
- A Multivariate Exponential Distribution
- Bernstein functions. Theory and applications
This page was built for publication: Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws
