Integrability conditions for compound random measures

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Apr 2018Embargo end date: 01 Jan 2017 English Publisher:Elsevier BVJournal:Statistics & Probability Letters, volume 135, pages 32-37 (issn: 0167-7152,

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Authors: Alan Riva Palacio; Fabrizio Leisen;

doi: 10.1016/j.spl.2017.11.005 , 10.48550/arxiv.1707.06768

arXiv: 1707.06768

Integrability conditions for compound random measures

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Abstract

Compound random measures (CoRM's) are a flexible and tractable framework for vectors of completely random measure. In this paper, we provide conditions to guarantee the existence of a CoRM. Furthermore, we prove some interesting properties of CoRM's when exponential scores and regularly varying L��vy intensities are considered.

Related Organizations

University of Kent
United Kingdom

Keywords

FOS: Computer and information sciences, Bayesian non-parametrics, exchangeable partition probability function, Probability (math.PR), Mathematics - Statistics Theory, Statistics Theory (math.ST), Processes with independent increments; Lévy processes, multivariate Lévy measure, Methodology (stat.ME), partial exchangeability, Exchangeability for stochastic processes, FOS: Mathematics, Statistics - Methodology, Mathematics - Probability, Random measures

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