Displaying similar documents to “CMPH: a multivariate phase-type aggregate loss distribution”

Construction of multivariate distributions: a review of some recent results.

José María Sarabia, Emilio Gómez-Déniz (2008)

SORT

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The construction of multivariate distributions is an active field of research in theoretical and applied statistics. In this paper some recent developments in this field are reviewed. Specifically, we study and review the following set of methods: (a) Construction of multivariate distributions based on order statistics, (b) Methods based on mixtures, (c) Conditionally specified distributions, (d) Multivariate skew distributions, (e) Distributions based on the method of the variables...

MLE for the γ-order Generalized Normal Distribution

Christos P. Kitsos, Vassilios G. Vassiliadis, Thomas L. Toulias (2014)

Discussiones Mathematicae Probability and Statistics

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The introduced three parameter (position μ, scale ∑ and shape γ) multivariate generalized Normal distribution (γ-GND) is based on a strong theoretical background and emerged from Logarithmic Sobolev Inequalities. It includes a number of well known distributions such as the multivariate Uniform, Normal, Laplace and the degenerated Dirac distributions. In this paper, the cumulative distribution, the truncated distribution and the hazard rate of the γ-GND are presented. In addition, the...

On characterizing the Pólya distribution

Héctor M. Ramos, David Almorza, Juan A. García–Ramos (2010)

ESAIM: Probability and Statistics

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In this paper two characterizations of the Pólya distribution are obtained when its contagion parameter is negative. One of them is based on mixtures and the other one is obtained by characterizing a subfamily of the discrete Pearson system.

A compound of the generalized negative binomial distribution with the generalized beta distribution

Tadeusz Gerstenkorn (2004)

Open Mathematics

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This paper presents a compound of the generalized negative binomial distribution with the generalized beta distribution. In the introductory part of the paper, we provide a chronological overview of recent developments in the compounding of distributions, including the Polish results. Then, in addition to presenting the probability function of the compound generalized negative binomial-generalized beta distribution, we present special cases as well as factorial and crude moments of some...