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arXiv · 0801.2083

Geometric Gamma Max-Infinitely Divisible Models

S. Satheesh·E. Sandhya
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Abstract

A transformation of gamma max-infinitely divisible laws viz. geometric gamma max-infinitely divisible laws is considered in this paper. Some of its distributional and divisibility properties are discussed and a random time changed extremal process corresponding to this distribution is presented. A new kind of invariance (stability) under geometric maxima is proved and a max-AR(1) model corresponding to it is also discussed.

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S. Satheesh, E. Sandhya. 2008-01-14. Geometric Gamma Max-Infinitely Divisible Models. https://arxiv.org/abs/0801.2083

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