The generalized Marshall-Olkin type multivariate pareto distributions

被引：4

作者：

Yeh, HC ^{[1
]}

机构：

[1] Natl Taiwan Univ, Coll Management, Dept Finance, Taipei 10764, Taiwan

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2004年 / 33卷 / 05期

关键词：

multivariate pareto distributions; GMOP and RMP families; multivariate Marshall-Olkin exponential; fatal shock model; characterizations multivariate truncation; underreporting; (m+l)-variate reduction;

D O I：

10.1081/STA-120029825

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, two generalized Marshall-Olkin type multivariate Pareto distributions are developed. They are generated by two different methods and are denoted respectively by the notations GMOP(I), (II), (III), (IV) and the reduction multivariate Pareto, RMP(I), (II), (III), (IV). All of them have univariate Pareto as marginals. Several distributional properties of these two alternative multivariate Pareto distributions are studied and two characterization properties of GMOP(I) distribution are thoroughly verified. One special subset of GMOP(IV) family can be generated by a fatal shock model of an in-component system. The multivariate Pareto RMP family is a subclass of GMOP.

引用

页码：1053 / 1068

页数：16

共 50 条

[1] Multivariate Generalized Marshall-Olkin Distributions and Copulas
Lin, Jianhua
Li, Xiaohu
[J]. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2014, 16 (01) : 53 - 78
[2] Duality of the multivariate distributions of Marshall-Olkin type and tail dependence
Li, Haijun
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2008, 37 (11) : 1721 - 1733
[3] CHARACTERIZATION OF A MARSHALL-OLKIN TYPE CLASS OF DISTRIBUTIONS
MULIERE, P
SCARSINI, M
[J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1987, 39 (02) : 429 - 441
[4] MARSHALL-OLKIN GENERALIZED ASYMMETRIC LAPLACE DISTRIBUTIONS AND PROCESSES
Krishna, E.
Jose, K. K.
[J]. STATISTICA, 2011, 71 (04) : 453 - 467
[5] Lack-of-partial-memory and aging properties of multivariate generalized Marshall-Olkin distributions
Lin, Jianhua
Li, Xiaohu
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2023, 52 (05) : 1564 - 1579
[6] On the Marshall-Olkin extended distributions
Castellares, Fredy
Lemonte, Artur J.
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2016, 45 (15) : 4537 - 4555
[7] Marshall-Olkin Laplace transform copulas of multivariate gamma distributions
Bernardoff, Philippe
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, 47 (03) : 655 - 670
[8] Multivariate Generalized Marshall–Olkin Distributions and Copulas
Jianhua Lin
Xiaohu Li
[J]. Methodology and Computing in Applied Probability, 2014, 16 : 53 - 78
[9] A NOTE ON BIVARIATE DUAL GENERALIZED MARSHALL-OLKIN DISTRIBUTIONS WITH APPLICATIONS
Fang, Rui
Li, Xiaohu
[J]. PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES, 2013, 27 (03) : 367 - 374
[10] Generalized Marshall-Olkin distributions and related bivariate aging properties
Li, Xiaohu
Pellerey, Franco
[J]. JOURNAL OF MULTIVARIATE ANALYSIS, 2011, 102 (10) : 1399 - 1409

← 1 2 3 4 5 →