Max-stable random sup-measures with comonotonic tail dependence
Max-stable random sup-measures with comonotonic tail dependence
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具有共调尾部依赖性的最大稳定随机超测度
DOI：
10.1016/j.spa.2016.03.004
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发表时间：
2015
期刊：
影响因子：
--
通讯作者：
K. Strokorb
中科院分区：
文献类型：
--
作者：
I. Molchanov;K. Strokorb
极值文献中的几个对象是极大稳定随机超测度的特殊实例。这种观点打开连接到随机集理论和风险措施的理论，并使之有可能扩展相应的概念和结果，从文学与精简的证明。特别地，阐明了Choquet随机超测度的作用及其随机优势性质。主要工具是极大稳定随机超测度的LePage表示及其尾部依赖泛函的对偶表示。分析了完全随机性、连续性、可分性、耦合性、连续选择性、不变性和变换性等性质。
Several objects in the Extremes literature are special instances of max-stable random sup-measures. This perspective opens connections to the theory of random sets and the theory of risk measures and makes it possible to extend corresponding notions and results from the literature with streamlined proofs. In particular, it clarifies the role of Choquet random sup-measures and their stochastic dominance property. Key tools are the LePage representation of a max-stable random sup-measure and the dual representation of its tail dependence functional. Properties such as complete randomness, continuity, separability, coupling, continuous choice, invariance and transformations are also analysed.
关于最大稳定过程和函数 D 范数
影响因子：
1.3
作者：
Aulbach;Hofmann
通讯作者：
Hofmann