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The deFinetti representation of generalised Marshall–Olkin sequences

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  • Sloot Henrik

    (Technical University of Munich, Parkring 11, 85748 Garching-Hochbrück)

Abstract

We show that each infinite 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.

Suggested Citation

  • Sloot Henrik, 2020. "The deFinetti representation of generalised Marshall–Olkin sequences," Dependence Modeling, De Gruyter, vol. 8(1), pages 107-118, January.
    • Handle: RePEc:vrs:demode:v:8:y:2020:i:1:p:107-118:n:6
    DOI: 10.1515/demo-2020-0006
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    References listed on IDEAS

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    1. Paul Embrechts & Marius Hofert, 2013. "A note on generalized inverses," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 77(3), pages 423-432, June.
    2. Marco Scarsini & Pietro Muliere, 1987. "Characterization of a Marshall-Olkin type class of distributions," Post-Print hal-00542248, HAL.
    3. Li, Xiaohu & Pellerey, Franco, 2011. "Generalized Marshall-Olkin distributions and related bivariate aging properties," Journal of Multivariate Analysis, Elsevier, vol. 102(10), pages 1399-1409, November.
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