An analytical characterization of the exchangeable wide-sense geometric law

Mai, J.-F.; Scherer, M.; Shenkman, N.

Document type:: Buchbeitrag
Author(s):: Mai, J.-F.; Scherer, M.; Shenkman, N.
Cooperation:: -
Title:: An analytical characterization of the exchangeable wide-sense geometric law
Pages contribution:: -
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.
Book title:: Advances in Intelligent Systems and Computing
Volume:: 190
Intellectual Contribution:: Contribution to Practice
Publisher:: Springer Verlag
Year:: 2012
Pages:: 331-340
Reviewed:: ja
Language:: en
TUM Institution:: Lehrstuhl für Finanzmathematik
Format:: Text
Key publication:: Nein
Peer reviewed:: ja
International:: Ja
Book review:: Nein
Commissioned:: not commissioned
Category:: textbook
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