On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions
Abstract: Min-stable multivariate exponential (MSMVE) distributions constitute an important family of distributions, among others due to their relation to extreme-value distributions. Being true multivariate exponential models, they also represent a natural choicewhen modeling default times in credit portfolios. Despite being well-studied on an abstract level, the number of known parametric families is small. Furthermore, for most families only implicit stochastic representations are known. The present paper develops new parametric families of MSMVE distributions in arbitrary dimensions. Furthermore, a convenient stochastic representation is stated for such models, which is helpful with regard to sampling strategies.
- Standort
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Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
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Online-Ressource
- Sprache
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Englisch
- Erschienen in
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On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions ; volume:3 ; number:1 ; year:2015 ; extent:18
Dependence modeling ; 3, Heft 1 (2015) (gesamt 18)
- Urheber
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Bernhart, German
Mai, Jan-Frederik
Scherer, Matthias
- DOI
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10.1515/demo-2015-0003
- URN
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urn:nbn:de:101:1-2411181546024.671889751293
- Rechteinformation
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
- 31.03.2151, 10:10 MESZ
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Beteiligte
- Bernhart, German
- Mai, Jan-Frederik
- Scherer, Matthias
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