Three general multivariate semi-Pareto distributions and their characterizations

Hsiaw-Chan Yeh

Journal of Multivariate Analysis, 2007, vol. 98, issue 6, 1305-1319

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.

Keywords: Multivariate; Pareto; (III); MP(k)(III); distributions; Multivariate; semi-Pareto; GMSP; MSP; distributions; Joint; survival; functions; Characterizations; Geometric; minima; Euler's; and; Cauchy's; functional; equations; General; and; particular; solutions (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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