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Flexible bivariate generalized Pareto models

newdigital Flexible bivariate generalized Pareto models
Article
journal STATISTICA & APPLICAZIONI
issue STATISTICA & APPLICAZIONI - 2020 - 1
title Flexible bivariate generalized Pareto models
author
publisher Vita e Pensiero
format Article | Pdf
online since 12-2020
doi 10.26350/999999_000032
issn 18246672 (print)
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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).