In this paper, we propose a bivariate extension of univariate composite (two-spliced) distributions defined by Pareto distribution for values larger than some thresholds and Gumbel on the complementary domain. The purpose is to capture behavior data consisting mainly small medium but also extreme values. Some properties proposed are presented. Further, two estimation procedures discussed illust...

It has been observed that return distributions in general and interest rates in particular exhibit skewness and kurtosis that cannot be explained by the lognormal distribution commonly used as an assumption in many option pricing models. We have replaced the lognormal assumption in the Black (1976) model with the g-and-h distribution and derived a simple, closed-form option pricing formula unde...

Although Zipf's law is widespread in natural and social data, one often encounters situations where one or both ends of the ranked data deviate from the power-law function. Previously we proposed the Beta rank function to improve the fitting of data which does not follow a perfect Zipf's law. Here we show that when the two parameters in the Beta rank function have the same value, the Lavalette ...

In this paper we consider the Marshall-Olkin bivariate Weibull distribution. The Marshall-Olkin bivariate Weibull distribution is a singular distribution, whose both the marginals are univariate Weibull distributions. This is a generalization of the Marshall-Olkin bivariate exponential distribution. The cumulative joint distribution of the Marshall-Olkin bivariate Weibull distribution is a mixt...

ABSTRACT In this research paper, we propose a new class of bivariate distributions called Bivariate Generalized Gamma-Lindley (BGGL) distribution with four parameters. This model is mixture independent Gamma random variables and generalized Lindley distribution. We investigate various properties the such as graphical representation, joint moments correlation. Furthermore, derive measure entropy...