Multivariate Distributions from Mixtures of Max-Infinitely Divisible Distributions

Harry Joe and Taizhong Hu

Journal of Multivariate Analysis, 1996, vol. 57, issue 2, 240-265

Abstract: A class of multivariate distributions that are mixtures of the positive powers of a max-infinitely divisible distribution are studied. A subclass has the property that all weighted minima or maxima belong to a given location or scale family. By choosing appropriate parametric families for the mixing distribution and the distribution being mixed, families of multivariate copulas with a flexible dependence structure and with closed form cumulative distribution functions are obtained. Some dependence properties of the class, as well as some characterizations, are given. Conditions for max-infinite divisibility of multivariate distributions are obtained.

Keywords: Max-stable; max-infinitely; divisible; multivariate; extreme; value; distribution; copula; positive; dependence; Laplace; transform (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (41)

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