A new multivariate model involving geometric sums and maxima of exponentials

DOI10.1016/J.JSPI.2011.01.026zbMATH Open1214.62055OpenAlexW1980227493WikidataQ115443394 ScholiaQ115443394MaRDI QIDQ2431579FDOQ2431579

Authors: Tomasz J. Kozubowski, Fares Qeadan, Anna K. Panorska 

Publication date: 15 April 2011

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.2011.01.026

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zbMATH Keywords

maximum likelihood estimationhierarchical modelgeometric distributionstochastic representationgeneralized exponential distributionBEG modelBTLG distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12)

Cites Work

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Cited In (14)

• The stationary bootstrap for the joint distribution of sum and maximum of stationary sequences
• A bivariate distribution with Lomax and geometric margins
• Bivariate gamma-geometric law and its induced Lévy process
• A bivariate infinitely divisible law for modeling the magnitude and duration of monotone periods of log‐returns
• The joint distribution of the sum and the maximum of heterogeneous exponential random variables
• The joint distribution of the sum and maximum of dependent Pareto risks
• The joint distribution of the sum and the maximum of IID exponential random variables
• A new trivariate model for stochastic episodes
• A general stochastic model for bivariate episodes driven by a gamma sequence
• A generalized linear model for multivariate events
• On a general class of discrete bivariate distributions
• A mixed bivariate distribution connected with geometric maxima of exponential variables
• Joint behavior of point processes of clusters and partial sums for stationary bivariate Gaussian triangular arrays
• A mixed bivariate distribution with exponential and geometric marginals

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