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Asian Journal of Mathematics & Statistics
  Year: 2009 | Volume: 2 | Issue: 2 | Page No.: 20-32
DOI: 10.3923/ajms.2009.20.32
Conditional Dependence of Trivariate Generalized Pareto Distributions
Diakarya Barro

Abstract:
In this study we consider the dependence of the family of multivariate generalized Pareto distributions under given conditions on lower dimensional margins. A new function which describes this conditional dependence is built via Pickands dependence function. This function provides a new characterization of the basic subfamilies of trivariate generalized Pareto distributions.
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How to cite this article:

Diakarya Barro , 2009. Conditional Dependence of Trivariate Generalized Pareto Distributions. Asian Journal of Mathematics & Statistics, 2: 20-32.

DOI: 10.3923/ajms.2009.20.32

URL: https://scialert.net/abstract/?doi=ajms.2009.20.32

 
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