The deFinetti representation of generalised Marshall–Olkin sequences
We show that each infinite exchangeable sequence τ1, τ2, . . . of random variables of the generalised Marshall–Olkin kind can be uniquely linked to an additive subordinator via its deFinetti representation. This is useful for simulation, model estimation, and model building.
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| Format: | Article |
| Language: | English |
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De Gruyter
2020-07-01
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| Series: | Dependence Modeling |
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| Online Access: | https://doi.org/10.1515/demo-2020-0006 |