A new trivariate model for stochastic episodes

Francesco Zuniga, Tomasz J. Kozubowski and Anna K. Panorska ()
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Francesco Zuniga: 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, 1-21

Abstract: Abstract We study the joint distribution of stochastic events described by (X,Y,N), where N has a 1-inflated (or deflated) geometric distribution and X, Y are the sum and the maximum of N exponential random variables. Models with similar structure have been used in several areas of applications, including actuarial science, finance, and weather and climate, where such events naturally arise. We provide basic properties of this class of multivariate distributions of mixed type, and discuss their applications. Our results include marginal and conditional distributions, joint integral transforms, moments and related parameters, stochastic representations, estimation and testing. An example from finance illustrates the modeling potential of this new model.

Keywords: BEG model; BGGE distribution; BTLG distribution; Extremes; Financial data; Geometric distribution; Maximum likelihood estimation; Random sum; Stochastic representation; TETLEG model; Zero-altered distribution; Zero-inflated distribution; 60E05; 60G50; 60G70; 62E15; 62H05; 62H12; 62H15; 62P05; 62P15 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:jstada:v:8:y:2021:i:1:d:10.1186_s40488-021-00114-3

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DOI: 10.1186/s40488-021-00114-3

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