A general stochastic model for bivariate episodes driven by a gamma sequence

Charles K. Amponsah, Tomasz J. Kozubowski () and Anna K. Panorska
Additional contact information
Charles K. Amponsah: University of Nevada
Tomasz J. Kozubowski: University of Nevada
Anna K. Panorska: University of Nevada

Journal of Statistical Distributions and Applications, 2021, vol. 8, issue 1, 1-31

Abstract: Abstract We propose a new stochastic model describing the joint distribution of (X,N), where N is a counting variable while X is the sum of N independent gamma random variables. We present the main properties of this general model, which include marginal and conditional distributions, integral transforms, moments and parameter estimation. We also discuss in more detail a special case where N has a heavy tailed discrete Pareto distribution. An example from finance illustrates the modeling potential of this new mixed bivariate distribution.

Keywords: BEG model; Distribution theory; Heavy tail; Financial data; Maximum likelihood estimation; Power law; Random summation; 60E05; 62E10; 62E15; 62F10; 62H05; 62H12; 62P05 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1186/s40488-021-00120-5 Abstract (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jstada:v:8:y:2021:i:1:d:10.1186_s40488-021-00120-5

Ordering information: This journal article can be ordered from
http://www.springer.com/statistics/journal/40488

DOI: 10.1186/s40488-021-00120-5

Access Statistics for this article

Journal of Statistical Distributions and Applications is currently edited by Felix Famoye and Carl Lee

More articles in Journal of Statistical Distributions and Applications from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().