Muliere and Scarsini's bivariate Pareto distribution: sums, products, and ratios
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 percent...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2005 |
| País: | España |
| Institución: | Universitat Autònoma de Barcelona |
| Repositorio: | Dipòsit Digital de Documents de la UAB |
| Idioma: | inglés |
| OAI Identifier: | oai:ddd.uab.cat:97448 |
| Acceso en línea: | https://ddd.uab.cat/record/97448 |
| Access Level: | acceso abierto |
| Palabra clave: | Incomplete beta function Gauss hypergeometric function Muliere and Scarsini's bivariate Pareto distribution Products of random variables Ratios of random variables Sums of random variables Funció beta incompleta Funció hypergeomètrica de Gauss Distribució bivariant Pareto de Muliere i Scarsini Productes de variables Aleatòries Quocients de variables aleatòries Sumes de variables aleatòries |
| Sumario: | 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 computing power- will be of use to practitioners of the bivariate Pareto distribution. |
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