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Muliere and Scarsini's bivariate Pareto distribution: sums, products and ratios.

Saralees Nadarajah, Samuel Kotz (2005)

SORT

We derive the exact distributions of R = X + Y, P = X Y and W = X / (X + Y) and the corresponding moment properties when X and Y follow Muliere and Scarsini's bivariate Pareto distribution. The expressions turn out to involve special functions. We also provide extensive tabulations of the percentage points associated with the distributions. These tables -obtained using intensive computer power- will be of use to the practitioners of the bivariate Pareto distribution.

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