Flexible bivariate beta distributions

Barry C. Arnold and Hon Keung Tony Ng

Journal of Multivariate Analysis, 2011, vol. 102, issue 8, 1194-1202

Abstract: Bivariate beta distributions which can be used to model data sets exhibiting positive or negative correlation are introduced. Properties of these bivariate beta distributions and their applications in Bayesian analysis are discussed. Three methods for parameter estimation are presented. The performance of these estimators is evaluated based on Monte Carlo simulations. Examples are provided to illustrate how additional parameters can be introduced to gain even more modeling flexibility. A possible extension of the proposed bivariate beta model and a multivariate generalization are also discussed.

Keywords: Gamma; distribution; Correlation; coefficient; Method; of; moments; Maximum; likelihood; estimation; Monte; Carlo; method (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (7)

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