IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v7y1977i4p551-559.html
   My bibliography  Save this article

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

Author

Listed:
  • Cambanis, Stamatis

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.

Suggested Citation

  • Cambanis, Stamatis, 1977. "Some properties and generalizations of multivariate Eyraud-Gumbel-Morgenstern distributions," Journal of Multivariate Analysis, Elsevier, vol. 7(4), pages 551-559, December.
  • Handle: RePEc:eee:jmvana:v:7:y:1977:i:4:p:551-559
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0047-259X(77)90066-5
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:eee:transb:v:106:y:2017:i:c:p:153-172 is not listed on IDEAS
    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.
    3. Jovanović, Mario, 2011. "Does Monetary Policy Affect Stock Market Uncertainty? – Empirical Evidence from the United States," Ruhr Economic Papers 240, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    4. Hashorva, E. & Hüsler, J., 1999. "Extreme Values in FGM Random Sequences," Journal of Multivariate Analysis, Elsevier, vol. 68(2), pages 212-225, February.
    5. 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.
    6. Hashorva, Enkelejd, 2001. "Asymptotic results for FGM random sequences," Statistics & Probability Letters, Elsevier, vol. 54(4), pages 417-425, October.
    7. Okolewski, A. & Kaluszka, M., 2015. "Stability of expected L-statistics against weak dependence of observations," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 157-164.
    8. Ibragimov, Rustam & Prokhorov, Artem, 2016. "Heavy tails and copulas: Limits of diversification revisited," Economics Letters, Elsevier, vol. 149(C), pages 102-107.
    9. Sharakhmetov, Sh. & Ibragimov, R., 2002. "A Characterization of Joint Distribution of Two-Valued Random Variables and Its Applications," Journal of Multivariate Analysis, Elsevier, vol. 83(2), pages 389-408, November.
    10. Mao, Tiantian & Yang, Fan, 2015. "Risk concentration based on Expectiles for extreme risks under FGM copula," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 429-439.
    11. repec:zbw:rwirep:0240 is not listed on IDEAS
    12. Ying Zhang & Chuancun Yin, 2014. "A new multivariate dependence measure based on comonotonicity," Papers 1410.7845, arXiv.org.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:7:y:1977:i:4:p:551-559. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.