论文标题
多元矩阵Mittag- leffler分布
Multivariate Matrix Mittag--Leffler distributions
论文作者
论文摘要
我们扩展了多元相型分布的构造原理，以建立一类可分析的重尾多元随机变量，其边际分布是具有常规变化指数的Mittag-Leffler类型。该结构本质上可以看作是允许标量参数成为矩阵值。在所有多变量正随机变量中，分布类别均具有致密，因此为在各个应用领域的重型尾部（但无关）的风险进行了多功能候选者。
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.
