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Some properties and generalizations of multivariate Eyraud-Gumbel-Morgenstern distributions

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  • Cambanis, Stamatis
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    Abstract

    The admissible values of the coefficient in a bivariate Eyraud-Gumbel-Morgenstern (EGM) distribution are found. For multivariate EGM distributions necessary and sufficient conditions are given for its coefficients, and its conditional distributions are found and shown to belong to a family of distributions further extending the multivariate EGM family.

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    File URL: http://www.sciencedirect.com/science/article/B6WK9-4CTN7X3-66/2/533969fd1159ce37317b61f4fda669d6
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 7 (1977)
    Issue (Month): 4 (December)
    Pages: 551-559

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    Handle: RePEc:eee:jmvana:v:7:y:1977:i:4:p:551-559

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    Related research

    Keywords: Multivariate Eyraud-Gumbel-Morgenstern distributions conditional distributions;

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    Cited by:
    1. Mario Jovanovic, 2011. "Does Monetary Policy Affect Stock Market Uncertainty? – Empirical Evidence from the United States," Ruhr Economic Papers 0240, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
    2. Tang, Qihe & Vernic, Raluca, 2007. "The impact on ruin probabilities of the association structure among financial risks," Statistics & Probability Letters, Elsevier, vol. 77(14), pages 1522-1525, August.

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