Bivariate gamma-geometric law and its induced Lévy process

Wagner Barreto-Souza

Journal of Multivariate Analysis, 2012, vol. 109, issue C, 130-145

Abstract: In this article we introduce a three-parameter extension of the bivariate exponential-geometric (BEG) law (Kozubowski and Panorska, 2005) [4]. We refer to this new distribution as the bivariate gamma-geometric (BGG) law. A bivariate random vector (X,N) follows the BGG law if N has geometric distribution and X may be represented (in law) as a sum of N independent and identically distributed gamma variables, where these variables are independent of N. Statistical properties such as moment generation and characteristic functions, moments and a variance–covariance matrix are provided. The marginal and conditional laws are also studied. We show that BBG distribution is infinitely divisible, just as the BEG model is. Further, we provide alternative representations for the BGG distribution and show that it enjoys a geometric stability property. Maximum likelihood estimation and inference are discussed and a reparametrization is proposed in order to obtain orthogonality of the parameters. We present an application to a real data set where our model provides a better fit than the BEG model. Our bivariate distribution induces a bivariate Lévy process with correlated gamma and negative binomial processes, which extends the bivariate Lévy motion proposed by Kozubowski et al. (2008) [6]. The marginals of our Lévy motion are a mixture of gamma and negative binomial processes and we named it BMixGNB motion. Basic properties such as stochastic self-similarity and the covariance matrix of the process are presented. The bivariate distribution at fixed time of our BMixGNB process is also studied and some results are derived, including a discussion about maximum likelihood estimation and inference.

Keywords: Bivariate gamma-geometric law; Characteristic function; Infinitely divisible distribution; Maximum likelihood estimation; Orthogonal parameters; Lévy process (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.jmva.2012.03.004

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