Geometric Gamma Max-Infinitely Divisible Models
Probability
2008-01-15 v1 Statistics Theory
Statistics Theory
Abstract
A transformation of gamma max-infinitely divisible laws viz. geometric gamma max-infinitely divisible laws is considered in this paper. Some of its distributional and divisibility properties are discussed and a random time changed extremal process corresponding to this distribution is presented. A new kind of invariance (stability) under geometric maxima is proved and a max-AR(1) model corresponding to it is also discussed.
Keywords
Cite
@article{arxiv.0801.2083,
title = {Geometric Gamma Max-Infinitely Divisible Models},
author = {S. Satheesh and E. Sandhya},
journal= {arXiv preprint arXiv:0801.2083},
year = {2008}
}
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6 Pages