Multivariate Distributions from Mixtures of Max-Infinitely Divisible Distributions
A class of multivariate distributions that are mixtures of the positive powers of a max-infinitely divisible distribution are studied. A subclass has the property that all weighted minima or maxima belong to a given location or scale family. By choosing appropriate parametric families for the mixing distribution and the distribution being mixed, families of multivariate copulas with a flexible dependence structure and with closed form cumulative distribution functions are obtained. Some dependence properties of the class, as well as some characterizations, are given. Conditions for max-infinite divisibility of multivariate distributions are obtained.
Year of publication: |
1996
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Authors: | Joe, Harry ; Hu, Taizhong |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 57.1996, 2, p. 240-265
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Publisher: |
Elsevier |
Keywords: | Max-stable max-infinitely divisible multivariate extreme value distribution copula positive dependence Laplace transform |
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