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
收藏
页码：1053 / 1068
页数：16
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