A new trivariate model for stochastic episodes

DOI10.1186/S40488-021-00114-3zbMATH Open1478.60064OpenAlexW3165174603MaRDI QIDQ2040908FDOQ2040908

Authors: Francesco Zuniga, Tomasz J. Kozubowski, Anna K. Panorska 

Publication date: 14 July 2021

Published in: Journal of Statistical Distributions and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s40488-021-00114-3

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zbMATH Keywords

maximum likelihood estimationfinancial datageometric distributionextremesrandom sumstochastic representationBEG modelzero-inflated distributionBGGE distributionBTLG distributionTETLEG modelzero-altered distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

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Cited In (2)

• A general stochastic model for bivariate episodes driven by a gamma sequence
• A generalized linear model for multivariate events

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