Geometric Gamma Max-Infinitely Divisible Models

Details Geometric Gamma Max-Infinitely Divisible Models Geometric Gamma Max-Infinitely Divisible Models

2008-01-14

arxiv.org/abs/0801.2083v1

Mathematics

Probability

6 Pages

Scientific paper

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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