Multivariate matrix Mittag–Leffler distributions
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- MULTIVARIATE MATRIX MITTAG–LEFFLER DISTRIBUTIONS
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We extend the construction principle of multivariate phase-type distributions to establish an analytically tractable class of heavy-tailed multivariate random variables whose marginal distributions are of Mittag–Leffler type with arbitrary index of regular variation. The construction can essentially be seen as allowing a scalar parameter to become matrix-valued. The class of distributions is shown to be dense among all multivariate positive random variables and hence provides a versatile candidate for the modelling of heavy-tailed, but tail-independent, risks in various fields of application.
Originalsprog | Engelsk |
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Tidsskrift | Annals of the Institute of Statistical Mathematics |
Vol/bind | 73 |
Udgave nummer | 2 |
Sider (fra-til) | 369 - 394 |
ISSN | 0020-3157 |
DOI | |
Status | Udgivet - 2021 |
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