An analytical characterization of the exchangeable wide-sense geometric law

Dokumenttyp:: Buchbeitrag
Autor(en):: Mai, J.-F.; Scherer, M.; Shenkman, N.
Kooperation:: -
Titel:: An analytical characterization of the exchangeable wide-sense geometric law
Abstract:: The exchangeable d-variate wide-sense geometric law is uniquely characterized by (d+1)-monotone sequences of parameters in [Mai, Scherer and Shenkman (2012)]. The proof of sufficiency in [Mai, Scherer and Shenkman (2012)] requires a probabilistic model. We provide an alternative, purely analytical proof of sufficiency of the (d+1)-monotonicity of a sequence to define admissible parameters of a d-variate wide-sense geometric law.
Seitenangaben Beitrag:: -
Buchtitel:: Advances in Intelligent Systems and Computing
Band / Teilband / Volume:: 190
Intellectual Contribution:: Contribution to Practice
Verlag / Institution:: Springer Verlag
Jahr:: 2012
Seiten/Umfang:: 331-340
Reviewed:: ja
Sprache:: en
TUM Einrichtung:: Lehrstuhl für Finanzmathematik
Format:: Text
Key publication:: Nein
Peer reviewed:: ja
International:: Ja
Book review:: Nein
commissioned:: not commissioned
Kategorie:: textbook
BibTeX