Association of infinitely divisible random vectors
We show that the Lévy measure of an associated infinitely divisible random vector in d may charge those quadrants of the space where the coordinates have different signs. We describe further certain families of infinitely divisible random vectors for which association does require the Lévy measure to be concentrated on d+ [union or logical sum] d-.
Year of publication: |
1995
|
---|---|
Authors: | Samorodnitsky, Gennady |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 55.1995, 1, p. 45-55
|
Publisher: |
Elsevier |
Subject: | Infinitely divisible Association Positive dependence |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Samorodnitsky, Gennady, (2005)
-
Do financial returns have finite or infinite variance? A paradox and an explanantion
Grabchak, Michael, (2009)
-
Ruin theory revisited : stochastic models for operational risk
Embrechts, Paul, (2004)
- More ...