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Three general multivariate semi-Pareto distributions and their characterizations

  • Yeh, Hsiaw-Chan
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    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.

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

    Volume (Year): 98 (2007)
    Issue (Month): 6 (July)
    Pages: 1305-1319

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    Handle: RePEc:eee:jmvana:v:98:y:2007:i:6:p:1305-1319
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