On Pearson-Kotz Dirichlet distributions

DOI10.1016/J.JMVA.2011.01.012zbMATH Open1213.60032OpenAlexW2007696487MaRDI QIDQ716174FDOQ716174

Authors: Narayanaswamy Balakrishnan, Enkelejd Hashorva 

Publication date: 19 April 2011

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.01.012

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zbMATH Keywords

beta distributionDirichlet distributionelliptically symmetric distribution\(t\)-distributionconditional excess distributionconditional limiting theoremKotz type distributionPearson-Kotz Dirichlet distributionbeta distribution of second

Mathematics Subject Classification ID

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

Cites Work

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Cited In (8)

• Second-order tail asymptotics of deflated risks
• Polyhedral star-shaped distributions
• Scale mixtures of Kotz-Dirichlet distributions
• Asymptotic behaviour of multivariate default probabilities and default correlations under stress
• On the strong Kotz approximation of Dirichlet random vectors
• Discussion: Statistical models and methods for dependence in insurance data
• Tail asymptotic of Weibull-type risks
• On a distribution of Leipnik and Pearce

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