The deFinetti representation of generalised Marshall–Olkin sequences

Sloot Henrik ()
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Sloot Henrik: Technical University of Munich, Parkring 11, 85748 Garching-Hochbrück

Dependence Modeling, 2020, vol. 8, issue 1, 107-118

Abstract: We show that each infinite exchangeable sequence τ1, τ2, . . . of random variables of the generalised Marshall–Olkin kind can be uniquely linked to an additive subordinator via its deFinetti representation. This is useful for simulation, model estimation, and model building.

Keywords: Shock model; Stochastic processes; Survival analysis; Marshall–Olkin; de Finetti (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:8:y:2020:i:1:p:107-118:n:6

DOI: 10.1515/demo-2020-0006

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