Multivariate flexible Pareto model: dependency structure, properties and characterizations
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Publication:840785
DOI10.1016/j.spl.2009.04.012zbMath1169.62003OpenAlexW1994229816MaRDI QIDQ840785
Arthur Chiragiev, Zinoviy Landsman
Publication date: 14 September 2009
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2009.04.012
Multivariate distribution of statistics (62H10) Characterization and structure theory of statistical distributions (62E10)
Related Items (4)
Risk aggregation in multivariate dependent Pareto distributions ⋮ A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT ⋮ Multiple risk factor dependence structures: distributional properties ⋮ On a multivariate Pareto distribution
Cites Work
- On a multivariate gamma
- A multivariate Kolmogorov-Smirnov test of goodness of fit
- Transformed empirical processes and modified Kolmogorov-Smirnov tests for multivariate distributions
- Multivariate extensions of the Anderson--Darling process.
- Asymptotic Statistics
- Families of Multivariate Distributions
- Extreme Value Theory as a Risk Management Tool
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