Multivariate Classes of GB2 Distributions with Applications

The general beta of the second kind distribution (GB2) is a flexible distribution which includes several relevant parametric families of distributions. This distribution has important applications in earnings and income distributions, finance and insurance. In this paper, several multivariate classe...

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Detalles Bibliográficos
Autores: Sarabia Alegría, José María, Prieto, Faustino, Jordá, Vanesa, Guillén, Montserrat
Tipo de recurso: artículo
Estado:Versión publicada
Fecha de publicación:2021
País:España
Institución:Universidad de Barcelona
Repositorio:Dipòsit Digital de la UB
OAI Identifier:oai:diposit.ub.edu:2445/174602
Acceso en línea:https://hdl.handle.net/2445/174602
Access Level:acceso abierto
Palabra clave:Anàlisi multivariable
Distribució (Teoria de la probabilitat)
Multivariate analysis
Distribution (Probability theory)
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spelling Multivariate Classes of GB2 Distributions with ApplicationsSarabia Alegría, José MaríaPrieto, FaustinoJordá, VanesaGuillén, MontserratAnàlisi multivariableDistribució (Teoria de la probabilitat)Multivariate analysisDistribution (Probability theory)The general beta of the second kind distribution (GB2) is a flexible distribution which includes several relevant parametric families of distributions. This distribution has important applications in earnings and income distributions, finance and insurance. In this paper, several multivariate classes of the GB2 distribution are proposed. The different multivariate versions are based on two simple univariate representations of the GB2 distribution. The first type of multivariate distributions are constructed from a stochastic dependent representations defined in terms of gamma random variables. Using this representation and beginning by two particular multivariate GB2 distributions, multivariate Singh-Maddala and Dagum income distributions are presented and several properties are obtained. Then, a general multivariate GB2 distribution is introduced. The second type of multivariate distributions are based on a generalization of the distribution of the order statistics, which gives place to multivariate GB2 distribution with support above the diagonal. We discuss the role of these families in modeling bivariate income distributions. Finally, an empirical application is given, where we show that a multivariate GB2 distribution can be useful for modeling compound precipitation and wind events in the whole rangeMDPI2021info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://hdl.handle.net/2445/174602Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)reponame:Dipòsit Digital de la UBinstname:Universidad de BarcelonaInglésReproducció del document publicat a: https://doi.org/10.3390/math9010072Mathematics, 2021, vol. 9, num. 1, p. 72https://doi.org/10.3390/math9010072cc-by (c) Sarabia Alegría, José María et al., 2021http://creativecommons.org/licenses/by/3.0/esinfo:eu-repo/semantics/openAccessoai:diposit.ub.edu:2445/1746022026-05-27T06:46:51Z
dc.title.none.fl_str_mv Multivariate Classes of GB2 Distributions with Applications
title Multivariate Classes of GB2 Distributions with Applications
spellingShingle Multivariate Classes of GB2 Distributions with Applications
Sarabia Alegría, José María
Anàlisi multivariable
Distribució (Teoria de la probabilitat)
Multivariate analysis
Distribution (Probability theory)
title_short Multivariate Classes of GB2 Distributions with Applications
title_full Multivariate Classes of GB2 Distributions with Applications
title_fullStr Multivariate Classes of GB2 Distributions with Applications
title_full_unstemmed Multivariate Classes of GB2 Distributions with Applications
title_sort Multivariate Classes of GB2 Distributions with Applications
dc.creator.none.fl_str_mv Sarabia Alegría, José María
Prieto, Faustino
Jordá, Vanesa
Guillén, Montserrat
author Sarabia Alegría, José María
author_facet Sarabia Alegría, José María
Prieto, Faustino
Jordá, Vanesa
Guillén, Montserrat
author_role author
author2 Prieto, Faustino
Jordá, Vanesa
Guillén, Montserrat
author2_role author
author
author
dc.subject.none.fl_str_mv Anàlisi multivariable
Distribució (Teoria de la probabilitat)
Multivariate analysis
Distribution (Probability theory)
topic Anàlisi multivariable
Distribució (Teoria de la probabilitat)
Multivariate analysis
Distribution (Probability theory)
description The general beta of the second kind distribution (GB2) is a flexible distribution which includes several relevant parametric families of distributions. This distribution has important applications in earnings and income distributions, finance and insurance. In this paper, several multivariate classes of the GB2 distribution are proposed. The different multivariate versions are based on two simple univariate representations of the GB2 distribution. The first type of multivariate distributions are constructed from a stochastic dependent representations defined in terms of gamma random variables. Using this representation and beginning by two particular multivariate GB2 distributions, multivariate Singh-Maddala and Dagum income distributions are presented and several properties are obtained. Then, a general multivariate GB2 distribution is introduced. The second type of multivariate distributions are based on a generalization of the distribution of the order statistics, which gives place to multivariate GB2 distribution with support above the diagonal. We discuss the role of these families in modeling bivariate income distributions. Finally, an empirical application is given, where we show that a multivariate GB2 distribution can be useful for modeling compound precipitation and wind events in the whole range
publishDate 2021
dc.date.none.fl_str_mv 2021
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/174602
url https://hdl.handle.net/2445/174602
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Reproducció del document publicat a: https://doi.org/10.3390/math9010072
Mathematics, 2021, vol. 9, num. 1, p. 72
https://doi.org/10.3390/math9010072
dc.rights.none.fl_str_mv cc-by (c) Sarabia Alegría, José María et al., 2021
http://creativecommons.org/licenses/by/3.0/es
info:eu-repo/semantics/openAccess
rights_invalid_str_mv cc-by (c) Sarabia Alegría, José María et al., 2021
http://creativecommons.org/licenses/by/3.0/es
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv MDPI
publisher.none.fl_str_mv MDPI
dc.source.none.fl_str_mv Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)
reponame:Dipòsit Digital de la UB
instname:Universidad de Barcelona
instname_str Universidad de Barcelona
reponame_str Dipòsit Digital de la UB
collection Dipòsit Digital de la UB
repository.name.fl_str_mv
repository.mail.fl_str_mv
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