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- W2263505150 abstract "The present paper provides a characterisation of exchangeable pairs of random measures $(widetildemu_1,widetildemu_2)$ whose identical margins are fixed to coincide with the distribution of a gamma completely random measure, and whose dependence structure is given in terms of canonical correlations. It is first shown that canonical correlation sequences for the finite-dimensional distributions of $(widetildemu_1,widetildemu_2)$ are moments of means of a Dirichlet process having random base measure. Necessary and sufficient conditions are further given for canonically correlated gamma completely random measures to have independent joint increments. Finally, time-homogeneous Feller processes with gamma reversible measure and canonical autocorrelations are characterised as Dawson--Watanabe diffusions with independent homogeneous immigration, time-changed via an independent subordinator. It is thus shown that Dawson--Watanabe diffusions subordinated by pure drift are the only processes in this class whose time-finite-dimensional distributions have, jointly, independent increments." @default.
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- W2263505150 date "2016-01-22" @default.
- W2263505150 modified "2023-10-18" @default.
- W2263505150 title "Canonical correlations for dependent gamma processes" @default.
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