8 papers
Stochastic decomposition for -norm symmetric survival functions on the positive orthant
Jan-Frederik Mai, Ruodu Wang
We derive a stochastic representation for the probability distribution on the positive orthant whose association between components is minimal among all probability…
Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws (with erratum by Natalia Shenkman)
Jan-Frederik Mai, Matthias Scherer, Natalia Shenkman
Two stochastic representations of multivariate geometric distributions are analyzed, both are obtained by lifting the lack-of-memory (LM) property of the univariate geometric law t…
On the structure of exchangeable extreme-value copulas
Jan-Frederik Mai, Matthias Scherer
We show that the set of -variate symmetric stable tail dependence functions, uniquely associated with exchangeable -dimensional extreme-value copulas, is a simplex and determ…
The infinite extendibility problem for exchangeable real-valued random vectors
Jan-Frederik Mai
We survey known solutions to the infinite extendibility problem for (necessarily exchangeable) probability laws on , which is: Can a given random vector $\vec{X} = (X…
Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws
Jan-Frederik Mai, Matthias Scherer
The concept of a Lévy subordinator is generalized to a family of non-decreasing stochastic processes, which are parameterized in terms of two Bernstein functions. Whereas the indep…
Canonical spectral representation for exchangeable max-stable sequences
Jan-Frederik Mai
The set of infinite-dimensional, symmetric stable tail dependence functions associated with exchangeable max-stable sequences of random variables with unit Fréchet margins is shown…