Multivariate Distributions from Mixtures of Max-Infinitely Divisible Distributions
AbstractA 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 57 (1996)
Issue (Month): 2 (May)
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