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

DOI10.1186/S40488-021-00120-5MaRDI QIDQ2040918zbMATH OpenOpenAlexFDO

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)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s40488-021-00120-5

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)

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Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
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• A note on the joint distribution involving Poissonian sum of exponential variables
• Bivariate gamma-geometric law and its induced Lévy process
• Discrete Burr and discrete Pareto distributions
• Discrete Pareto distributions
• Exponential, gamma and polygamma functions: simple proofs of classical and new inequalities
• Flexible univariate and multivariate models based on hidden truncation
• Mathematical statistics. Basic ideas and selected topics. Volume I
• Mittag-Leffler functions and their applications
• Tails of random sums of a heavy-tailed number of light-tailed terms

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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