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2015 | 3 | 1 |
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On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
Min-stable multivariate exponential (MSMVE) distributions constitute an important family of distributions, among others due to their relation to extreme-value distributions. Being true multivariate exponential models, they also represent a natural choicewhen modeling default times in credit portfolios. Despite being well-studied on an abstract level, the number of known parametric families is small. Furthermore, for most families only implicit stochastic representations are known. The present paper develops new parametric families of MSMVE distributions in arbitrary dimensions. Furthermore, a convenient stochastic representation is stated for such models, which is helpful with regard to sampling strategies.
Wydawca
Czasopismo
Rocznik
Tom
3
Numer
1
Opis fizyczny
Daty
otrzymano
2015-01-13
zaakceptowano
2015-05-07
online
2015-05-22
Twórcy
  • Technische Universität München, Parkring 11, 85748 Garching-Hochbrück, Germany
  • XAIA Investment GmbH, Sonnenstraße 19, 80331 München, Germany
  • Technische Universität München, Parkring 11, 85748 Garching-Hochbrück, Germany
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.doi-10_1515_demo-2015-0003
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