Three general multivariate semi-Pareto distributions and their characterizations
Journal
Journal of Multivariate Analysis
Journal Issue
98
Pages
1305-1319
Date Issued
2007-07
Author(s)
Abstract
Three general multivariate semi-Pareto distributions are developed in this paper. First one-GMP(k) (III) has univariate Pareto (III) marginals, it is characterized by the minimum of two independent and identically distributed random vectors. Second one-GMSP has univariate semi-Pareto marginals and it is characterized by finite sample minima. Third one-MSP is characterized through a geometric minimization procedure. All these three characterizations are based on the general and the particular solutions of the Euler's functional equations of k-variates. © 2006 Elsevier Inc. All rights reserved.
Three general multivariate semi-Pareto distributions are developed in this paper. First one-GMP(k) (III) has univariate Pareto (III) marginals, it is characterized by the minimum of two independent and identically distributed random vectors. Second one-GMSP has univariate semi-Pareto marginals and it is characterized by finite sample minima. Third one-MSP is characterized through a geometric minimization procedure. All these three characterizations are based on the general and the particular solutions of the Euler's functional equations of k-variates. © 2006 Elsevier Inc. All rights reserved.
Type
journal article