A general stochastic model for bivariate episodes driven by a gamma sequence

DOI10.1186/S40488-021-00120-5zbMATH Open1478.60048OpenAlexW3165188543MaRDI QIDQ2040918FDOQ2040918

Authors: Charles K. Amponsah, 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/s40488-021-00120-5

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zbMATH Keywords

power lawmaximum likelihood estimationdistribution theoryfinancial dataheavy tailrandom summationBEG model

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Point estimation (62F10) 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)

Cites Work

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• A note on the joint distribution involving Poissonian sum of exponential variables
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• Discrete Pareto distributions
• A bivariate infinitely divisible law for modeling the magnitude and duration of monotone periods of log‐returns

Cited In (4)

• A bivariate distribution with Lomax and geometric margins
• A discrete truncated Zipf distribution
• A new trivariate model for stochastic episodes
• Bivariate gamma model

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