A general stochastic model for bivariate episodes driven by a gamma sequence
نویسندگان
چکیده
Abstract We propose a new stochastic model describing the joint distribution of ( X , N ), where is counting variable while sum independent gamma random variables. present main properties this general model, which include marginal and conditional distributions, integral transforms, moments parameter estimation. also discuss in more detail special case has heavy tailed discrete Pareto distribution. An example from finance illustrates modeling potential mixed bivariate
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ژورنال
عنوان ژورنال: Journal of Statistical Distributions and Applications
سال: 2021
ISSN: ['2195-5832']
DOI: https://doi.org/10.1186/s40488-021-00120-5