Integrability conditions for Compound Random Measures
Methodology
2017-11-15 v2 Probability
Statistics Theory
Statistics Theory
Abstract
Compound random measures (CoRM's) are a flexible and tractable framework for vectors of completely random measure. In this paper, we provide conditions to guarantee the existence of a CoRM. Furthermore, we prove some interesting properties of CoRM's when exponential scores and regularly varying L\'evy intensities are considered.
Cite
@article{arxiv.1707.06768,
title = {Integrability conditions for Compound Random Measures},
author = {Alan Riva Palacio and Fabrizio Leisen},
journal= {arXiv preprint arXiv:1707.06768},
year = {2017}
}