Flexible bivariate generalized Pareto models

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Article

journal	STATISTICA & APPLICAZIONI
issue	STATISTICA & APPLICAZIONI - 2020 - 1
title	Flexible bivariate generalized Pareto models
author	Barry C. Arnold
publisher	Vita e Pensiero
format	Article \| Pdf
online since	12-2020
doi	10.26350/999999_000032
issn	18246672 (print)
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Description Readers' comments
The hierarchy of Pareto models, described in a paper written by Arnold in 2015, admit representations in terms of independent gamma variables. Utilizing general bivariate beta(2) models introduced in a paper written by Arnold and Ng in 2011, which also involve independent gamma components, it is possible to identify flexible bivariate generalized Pareto models which can exhibit a wide range of correlation values. Multivariate extensions of the models are described. Simplified submodels of these are amenable to standard inference strategies. keywords Gamma Components, Beta(2) Distribution, Feller-Pareto Distribution, Gini Index Author biography Department of Statistics - University of California - RIVERSIDE, USA (e-mail: barry.arnold@ucr.edu). Enter a comment for Flexible bivariate generalized Pareto models

Description Readers' comments

The hierarchy of Pareto models, described in a paper written by Arnold in 2015, admit representations in terms of independent gamma variables. Utilizing general bivariate beta(2) models introduced in a paper written by Arnold and Ng in 2011, which also involve independent gamma components, it is possible to identify flexible bivariate generalized Pareto models which can exhibit a wide range of correlation values. Multivariate extensions of the models are described. Simplified submodels of these are amenable to standard inference strategies.