Constructing models for spherical and elliptical densities

Liebscher Eckhard ()
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Liebscher Eckhard: Department of Engineering and Natural Sciences, University of Applied Sciences Merseburg, Eberhard-Leibnitz-Str. 2, 06217 Merseburg, Germany

Dependence Modeling, 2023, vol. 11, issue 1, 19

Abstract: The article provides construction algorithms for consistent model classes of continuous spherical and elliptical distributions. The algorithms are based on characterization theorems for consistent families of generator functions. This characterization uses the term of complete monotonicity. The algorithms are applied to several examples of generators leading to consistent families of generators with explicit formulas for marginal densities of arbitrary dimension.

Keywords: elliptical distributions; spherical distributions; generator functions; complete monotonicity (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:11:y:2023:i:1:p:19:n:1

DOI: 10.1515/demo-2023-0111

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