Integrability conditions for compound random measures

Alan Riva Palacio and Fabrizio Leisen

Statistics & Probability Letters, 2018, vol. 135, issue C, 32-37

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 Lévy intensities are considered.

Keywords: Bayesian non-parametrics; Multivariate Lévy measure; Partial exchangeability; Exchangeable Partition Probability Function (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2017.11.005

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