Scale mixtures of Kotz-Dirichlet distributions

DOI10.1016/J.JMVA.2011.08.012zbMATH Open1273.60018OpenAlexW1981031771MaRDI QIDQ690957FDOQ690957

Authors: Narayanaswamy Balakrishnan, Enkelejd Hashorva 

Publication date: 29 November 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.08.012

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zbMATH Keywords

Dirichlet distributionelliptical distributionrandom scalingcoefficient of tail dependence\(t\)-distributionconditional excess distributionconditional limiting theoremKotz approximationKotz type distributionPearson-Kotz Dirichlet distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05)

Cited In (9)

• On scale-mixture Birnbaum-Saunders distributions
• On Pearson-Kotz Dirichlet distributions
• The joint distribution of the sum and maximum of dependent Pareto risks
• On the strong Kotz approximation of Dirichlet random vectors
• SCALE MIXTURES DISTRIBUTIONS IN STATISTICAL MODELLING
• Variance-mean mixture of Kotz-type distributions
• Extremes of aggregated Dirichlet risks
• Tail behavior of weighted sums of order statistics of dependent risks
• Archimedean copulas in finite and infinite dimensions -- with application to ruin problems

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