A bivariate distribution with Lomax and geometric margins

DOI10.1016/J.JKSS.2018.04.006MaRDI QIDQ1622113zbMATH OpenOpenAlexWikidataFDO

Authors 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

BEG modeldependence by mixingdistribution theoryfinancial datamaximum likelihood estimationmixed distributionmultivariate Pareto distributionrandom sum

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(7)

• 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
• A mixed bivariate distribution with exponential and geometric marginals
• Some statistical inferences on the upper record of Lomax distribution
• scientific article; zbMATH DE number 4188984 (Why is no real title available?)

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