A new trivariate model for stochastic episodes

DOI10.1186/S40488-021-00114-3MaRDI QIDQ2040908zbMATH OpenOpenAlexFDO

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)

Copyright license Creative Commons Attribution 4.0 International

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

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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Cites work

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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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