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- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Sloot, H.
- Non-TUM Co-author(s):
- nein
- Cooperation:
- international
- Title:
- The deFinetti representation of generalised Marshall–Olkin sequences
- Abstract:
- We show that each infnite exchangeable sequence τ1, τ2, . . . of random variables of the generalised Marshall–Olkin kind can be uniquely linked to an additive subordinator via its deFinetti representation. This is useful for simulation, model estimation, and model building.
- Intellectual Contribution:
- Discipline-based Research
- Journal title:
- Dependence Modeling
- Journal listet in FT50 ranking:
- nein
- Year:
- 2020
- Journal volume:
- 8
- Pages contribution:
- 107-118
- Reviewed:
- ja
- Fulltext / DOI:
- doi:10.1515/demo-2020-0006
- Status:
- Verlagsversion / published
- TUM Institution:
- Lehrstuhl für Finanzmathematik
- Judgement review:
- 0
- Key publication:
- Nein
- Peer reviewed:
- Ja
- Commissioned:
- not commissioned
- Technology:
- Nein
- Interdisciplinarity:
- Nein
- Mission statement:
- ;
- Ethics and Sustainability:
- Nein
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