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Association of infinitely divisible random vectors

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  • Samorodnitsky, Gennady

Abstract

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-.

Suggested Citation

  • Samorodnitsky, Gennady, 1995. "Association of infinitely divisible random vectors," Stochastic Processes and their Applications, Elsevier, vol. 55(1), pages 45-55, January.
    • Handle: RePEc:eee:spapps:v:55:y:1995:i:1:p:45-55
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    Cited by:

    1. Marron, J. S. & Nakamura, Miguel & Pérez-Abreu, Víctor, 2003. "Semi-parametric multivariate modelling when the marginals are the same," Journal of Multivariate Analysis, Elsevier, vol. 86(2), pages 310-329, August.
    2. Nicole Bäuerle & Anja Blatter & Alfred Müller, 2008. "Dependence properties and comparison results for Lévy processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 67(1), pages 161-186, February.

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