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Title:

The deFinetti representation of generalised Marshall–Olkin sequences

Document type:
Zeitschriftenaufsatz
Author(s):
Sloot, H.
Non-TUM Co-author(s):
nein
Cooperation:
international
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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