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How Exceptional is the Extremal Kendall and Kendall-Type Convolution

Abstract:

This paper deals with the generalized convolutions connected with the Williamson transform and the maximum operation. We focus on such convolutions which can define transition probabilities of renewal processes. They should be monotonic since the described time or destruction does not go back, it should admit existence of a distribution with a lack of memory property because the analog of the Poisson process shall exist. Another valuable property is the simplicity of calculating and inverting the corresponding generalized characteristic function (in particular Williamson transform) so that the technique of generalized characteristic function can be used in description of our processes. The convex linear combination property (the generalized convolution of two point measures is the convex combination of several fixed measures), or representability (which means that the generalized convolution can be easily written in the language of independent random variables)—they also facilitate the modeling of real processes in that language. We describe examples of generalized convolutions having the required properties ranging from the maximum convolution and its simplest generalization—the Kendall convolution (associated with the Williamson transform), up to the most complicated here—Kingman convolution. It is novel approach to apply in the extreme value theory. Stochastic representation of the Kucharczak-Urbanik in the order statistics terms is proved, which open new paths to investigate Archimedean copulas. This paper open the door to solve an old open problem of the relationship between copulas and generalized convolutions mentioned by B. Schweizer and A. Sklar in 1983. This indicates the path of further research towards extremes and dependency modelling.