28 citations · 37 across the 6 of their papers we have counts for
6 papers
Tau-Rho Equality and Other Dependence Measures of a Subclass of Factorizable Copulas
Noppawit Yanpaisan, Tippawan Santiwipanont, Matthias Scherer +1
Kendall's tau and Spearman's rho, two widely used dependence measures in statistics and risk management, are often treated as interchangeable, yet can disagree sharply: Schreyer et…
Exchangeable min-id sequences: Characterization, exponent measures and non-decreasing id-processes
Florian Brück, Jan-Frederik Mai, Matthias Scherer
We establish a one-to-one correspondence between (i) exchangeable sequences of random variables whose finite-dimensional distributions are minimum (or maximum) infinitely divisible…
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…
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…
Exchangeable exogenous shock models
Jan-Frederik Mai, Steffen Schenk, Matthias Scherer
We characterize a comprehensive family of -variate exogenous shock models. Analytically, we consider a family of multivariate distribution functions that arises from ordering, i…