Scale mixtures of Kotz–Dirichlet distributions
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DOI: 10.1016/j.jmva.2011.08.012
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- Arendarczyk, Marek & Kozubowski, Tomasz. J. & Panorska, Anna K., 2018. "The joint distribution of the sum and maximum of dependent Pareto risks," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 136-156.
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Keywords
Pearson–Kotz Dirichlet distribution; Dirichlet distribution; Kotz type distribution; Kotz approximation; Elliptical distribution; t-distribution; Conditional limiting theorem; Conditional excess distribution; Coefficient of tail dependence; Random scaling;All these keywords.
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