3 papers
math.PR2020
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…
math.ST2019
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…
math.PR2018
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…