A mixed bivariate distribution with exponential and geometric marginals

DOI10.1016/j.jspi.2004.04.010zbMath1072.62003OpenAlexW2040008285MaRDI QIDQ2386156

Tomasz J. Kozubowski, Anna K. Panorska

Publication date: 22 August 2005

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2004.04.010

zbMATH Keywords

maximum likelihood estimationinfinite divisibilityLaplace distributiondouble exponential distributionrandom summationcurrency exchange rates modelingmixed bivariate distribution

Mathematics Subject Classification ID

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Cites Work

• Scaling the volatility of GDP growth rates
• Maximum likelihood estimation of stable Paretian models.
• Asymmetric Laplace laws and modeling financial data
• A Problem of Zolotarev and Analogs of Infinitely Divisible and Stable Distributions in a Scheme for Summing a Random Number of Random Variables
• The Variance Gamma Process and Option Pricing
• Some Characterizations of the Exponential Distribution by Geometric Compounding
• The Pareto, Zipf and other power laws
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