Finite Exchangeability, Lévy-Frailty Copulas and Higher-Order Monotonic Sequences

Paul Ressel ()
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Paul Ressel: Kath. Univ. Eichstätt-Ingolstadt

Journal of Theoretical Probability, 2013, vol. 26, issue 3, 666-675

Abstract: Abstract This paper deals with a surprising connection between exchangeable distributions on {0,1} n and the recently introduced Lévy-frailty copulas, the link being provided by a new class of multivariate distribution functions called linearly order symmetric. The characterisation theorem for Lévy-frailty copulas is given a new and short (non-combinatorial) proof, and a related result is shown for exchangeable Marshall–Olkin distributions. A common thread in all these considerations is higher-order monotonic functions on integer intervals of the form {0,1,…,n}.

Keywords: Finite exchangeability; Lévy-frailty copula; Marshall–Olkin distribution; n-(absolutely)-monotone function; 60E05; 60G09 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s10959-011-0389-9

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