
	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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