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A note on the Galambos copula and its associated Bernstein function

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Mai J.-F.

Dependence Modeling

2014

tom 2

nr 1

There is an infinite exchangeable sequence of random variables {Xk}k∈ℕ such that each finitedimensional distribution follows a min-stable multivariate exponential law with Galambos survival copula, named after [7]. A recent result of [15] implies the existence of a unique Bernstein function Ψ associated with {Xk}k∈ℕ via the relation Ψ(d) = exponential rate of the minimum of d members of {Xk}k∈ℕ. The present note provides the Lévy–Khinchin representation for this Bernstein function and explores some of its properties.

Ograniczanie wyników

1 Dependence Modeling

1 Mai J.-F.

1 2014

Wyniki wyszukiwania

A note on the Galambos copula and its associated Bernstein function