Flexible bivariate generalized Pareto models

digital

Article

Magazine

STATISTICA & APPLICAZIONI

Section

Open Access

Title

Flexible bivariate generalized Pareto models

Author

Barry C. Arnold

Publisher

Vita e Pensiero

Format

Article |

Pdf

Online from

12-2020

Doi

10.26350/999999_000032

Issn

1824-6672 (print) | 2283-6659 (digital)

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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.