A bivariate distribution with Lomax and geometric margins

DOI10.1016/j.jkss.2018.04.006zbMath1402.60019OpenAlexW2804185717WikidataQ129808161 ScholiaQ129808161MaRDI QIDQ1622113

Marek Arendarczyk, Tomasz J. Kozubowski, Anna K. Panorska

Publication date: 12 November 2018

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2018.04.006

zbMATH Keywords

maximum likelihood estimationdistribution theorymixed distributionrandom sumfinancial dataBEG modelmultivariate Pareto distributiondependence by mixing

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Exact distribution theory in statistics (62E15) Sums of independent random variables; random walks (60G50) Probability distributions: general theory (60E05)

Related Items (5)

Some statistical inferences on the upper record of Lomax distribution ⋮ The joint distribution of the sum and maximum of dependent Pareto risks ⋮ A new trivariate model for stochastic episodes ⋮ A general stochastic model for bivariate episodes driven by a gamma sequence ⋮ A generalized linear model for multivariate events

Cites Work

• The flood probability distribution tail: How heavy is it?
• Residual life time at great age
• Statistical inference using extreme order statistics
• Compound Poisson approximations for individual models with dependent risks.
• Some properties and characterizations for generalized multivariate Pareto distributions
• Testing extreme value models
• Risk aggregation in multivariate dependent Pareto distributions
• A mixed bivariate distribution with exponential and geometric marginals
• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
• Multivariate distributions for the life lengths of components of a system sharing a common environment
• Multivariate Lomax distribution: properties and usefulness in reliability theory
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