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Some extremal type elliptical distributions

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  • Kotz, Samuel
  • Nadarajah, Saralees

Abstract

We note that the Kotz type distribution in the class of elliptical distributions can be interpreted as being generated by the Weibull or Type III extreme value distribution. Based on this observation, we develop two new elliptical distributions based on the Type I and Type II extreme value distributions and study their structural properties. We also derive several hitherto unknown properties for the Kotz type distribution.

Suggested Citation

  • Kotz, Samuel & Nadarajah, Saralees, 2001. "Some extremal type elliptical distributions," Statistics & Probability Letters, Elsevier, vol. 54(2), pages 171-182, September.
    • Handle: RePEc:eee:stapro:v:54:y:2001:i:2:p:171-182
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    References listed on IDEAS

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    1. Kotz, S. & Ostrovskii, I., 1994. "Characteristic Functions of a Class of Elliptic Distributions," Journal of Multivariate Analysis, Elsevier, vol. 49(1), pages 164-178, April.
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    Cited by:

    1. Arslan, Olcay, 2005. "A new class of multivariate distributions: Scale mixture of Kotz-type distributions," Statistics & Probability Letters, Elsevier, vol. 75(1), pages 18-28, November.
    2. Castilla, Elena & Zografos, Konstantinos, 2022. "On distance-type Gaussian estimation," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    3. Hashorva, Enkelejd, 2006. "On the multivariate Hüsler-Reiss distribution attracting the maxima of elliptical triangular arrays," Statistics & Probability Letters, Elsevier, vol. 76(18), pages 2027-2035, December.
    4. Hashorva, Enkelejd, 2006. "On the regular variation of elliptical random vectors," Statistics & Probability Letters, Elsevier, vol. 76(14), pages 1427-1434, August.

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    2. Arslan, Olcay, 2005. "A new class of multivariate distributions: Scale mixture of Kotz-type distributions," Statistics & Probability Letters, Elsevier, vol. 75(1), pages 18-28, November.
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