ARCHIMEDEAN COPULAS, EXCHANGEABILITY, AND MAX-STABILITY

被引：6

作者：

BALLERINI, R

机构：

来源：

JOURNAL OF APPLIED PROBABILITY | 1994年 / 31卷 / 02期

关键词：

REGULAR VARIATION; EXCHANGEABLE SEQUENCES; MAX-STABLE PROCESSES;

D O I：

10.2307/3215031

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 [统计学]; 070103 [概率论与数理统计]; 0714 [统计学];

摘要：

An exchangeable sequence of random variables is constructed with all finite-dimensional distribution functions having an Archimedean copula (as defined by Schweizer and Sklar (1983)). Through a monotone transformation of this exchangeable sequence, we obtain and characterize the class of exchangeable sequences possessing the max-stable property as defined by De Haan and Rachev (1989). Several parametric examples are given.

引用

页码：383 / 390

页数：8