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Name: Florian Brück

Talk Title: Exchangeable min-id sequences: Characterization, exponent measures and non-decreasing id-processes

Abstract: We establish a correspondence between exchangeable sequences of random variables whose finite-dimensional distributions are min- (or max-) infinitely divisible and non-negative, non-decreasing, infinitely divisible stochastic processes. The exponent measure of a min-id sequence is shown to be the sum of a very simple "drift measure" and a mixture of product probability measures, which corresponds uniquely to the Lévy measure of a non-decreasing infinitely divisible process. The latter is shown to be supported on non-negative and non-decreasing functions. Our results provide an analytic umbrella which embeds the de Finetti subfamilies of many classes of multivariate distributions, such as exogenous shock models, exponential and geometric laws with lack-of-memory property, min-stable multivariate exponential and extreme-value distributions, as well as reciprocal Archimedean copulas with completely monotone generator and Archimedean copulas with log-completely monotone generator.

This talk is a contributed talk at EVA 2021.