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Title:

An analytical characterization of the exchangeable wide-sense geometric law

Document type:
Buchbeitrag
Author(s):
Mai, J.-F.; Scherer, M.; Shenkman, N.
Cooperation:
-
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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