کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5129301 | 1489638 | 2017 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On finite exchangeable sequences and their dependence
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آنالیز عددی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper deals with finite sequences of exchangeable 0-1 random variables. Our main purpose is to exhibit the dependence structure between such indicators. Working with Kendall's representation by mixture, we prove that a convex order of higher degree on the mixing variable implies a supermodular order of same degree on the indicators, and conversely. The convex order condition is then discussed for three standard distributions (binomial, hypergeometric and Stirling) in which the parameter is randomized. Distributional properties of exchangeable indicators are also revisited using an underlying Schur-constant property. Finally, two applications in insurance and credit risk illustrate some of the results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 162, November 2017, Pages 93-109
Journal: Journal of Multivariate Analysis - Volume 162, November 2017, Pages 93-109
نویسندگان
Claude Lefèvre, Stéphane Loisel, Sergey Utev,