IDEAS home Printed from https://ideas.repec.org/a/spr/aistmt/v44y1992i1p97-106.html
   My bibliography  Save this article

A form of multivariate gamma distribution

Author

Listed:
  • A. Mathal
  • P. Moschopoulos

Abstract

No abstract is available for this item.

Suggested Citation

  • A. Mathal & P. Moschopoulos, 1992. "A form of multivariate gamma distribution," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 44(1), pages 97-106, March.
    • Handle: RePEc:spr:aistmt:v:44:y:1992:i:1:p:97-106
    DOI: 10.1007/BF00048672
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/BF00048672
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/BF00048672?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Mathai, A. M. & Moschopoulos, P. G., 1991. "On a multivariate gamma," Journal of Multivariate Analysis, Elsevier, vol. 39(1), pages 135-153, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Christian Caamaño-Carrillo & Javier E. Contreras-Reyes, 2022. "A Generalization of the Bivariate Gamma Distribution Based on Generalized Hypergeometric Functions," Mathematics, MDPI, vol. 10(9), pages 1-17, May.
    2. John A. Buzacott, 2016. "Capital allocation to alternatives with a multivariate ladder gamma return distribution," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(2), pages 235-258, November.
    3. T. Pham‐Gia & N. Turkkan, 1999. "System availability in a gamma alternating renewal process," Naval Research Logistics (NRL), John Wiley & Sons, vol. 46(7), pages 822-844, October.
    4. Furman, Edward & Landsman, Zinoviy, 2010. "Multivariate Tweedie distributions and some related capital-at-risk analyses," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 351-361, April.
    5. Zhao, Jun & Jang, Yu-Hyeong & Kim, Hyoung-Moon, 2022. "Closed-form and bias-corrected estimators for the bivariate gamma distribution," Journal of Multivariate Analysis, Elsevier, vol. 191(C).
    6. Balakrishnan, Narayanaswamy & Ristić, Miroslav M., 2016. "Multivariate families of gamma-generated distributions with finite or infinite support above or below the diagonal," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 194-207.
    7. Jacopo Giacomelli & Luca Passalacqua, 2021. "Calibrating the CreditRisk + Model at Different Time Scales and in Presence of Temporal Autocorrelation †," Mathematics, MDPI, vol. 9(14), pages 1-30, July.
    8. Furman, Edward, 2008. "On a multivariate gamma distribution," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2353-2360, October.
    9. Das, Sourish & Dey, Dipak K., 2010. "On Bayesian inference for generalized multivariate gamma distribution," Statistics & Probability Letters, Elsevier, vol. 80(19-20), pages 1492-1499, October.
    10. Arjun Gupta & Jacek Wesolowski, 1997. "Uniform Mixtures Via Posterior Means," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(1), pages 171-180, March.
    11. Zhou, Ming & Dhaene, Jan & Yao, Jing, 2018. "An approximation method for risk aggregations and capital allocation rules based on additive risk factor models," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 92-100.
    12. Derek S. Young & Xi Chen & Dilrukshi C. Hewage & Ricardo Nilo-Poyanco, 2019. "Finite mixture-of-gamma distributions: estimation, inference, and model-based clustering," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 13(4), pages 1053-1082, December.
    13. Jianxi Su & Edward Furman, 2016. "A form of multivariate Pareto distribution with applications to financial risk measurement," Papers 1607.04737, arXiv.org.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Buchmann, Boris & Kaehler, Benjamin & Maller, Ross & Szimayer, Alexander, 2017. "Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing," Stochastic Processes and their Applications, Elsevier, vol. 127(7), pages 2208-2242.
    2. Furman, Edward & Landsman, Zinoviy, 2010. "Multivariate Tweedie distributions and some related capital-at-risk analyses," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 351-361, April.
    3. Furman, Edward & Zitikis, Ricardas, 2008. "Weighted risk capital allocations," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 263-269, October.
    4. Chiragiev, Arthur & Landsman, Zinoviy, 2009. "Multivariate flexible Pareto model: Dependency structure, properties and characterizations," Statistics & Probability Letters, Elsevier, vol. 79(16), pages 1733-1743, August.
    5. Alai, Daniel H. & Landsman, Zinoviy & Sherris, Michael, 2015. "A multivariate Tweedie lifetime model: Censoring and truncation," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 203-213.
    6. Das, Sourish & Dey, Dipak K., 2010. "On Bayesian inference for generalized multivariate gamma distribution," Statistics & Probability Letters, Elsevier, vol. 80(19-20), pages 1492-1499, October.
    7. Boris Buchmann & Benjamin Kaehler & Ross Maller & Alexander Szimayer, 2015. "Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing," Papers 1502.03901, arXiv.org, revised Oct 2016.
    8. Alai, Daniel H. & Landsman, Zinoviy & Sherris, Michael, 2013. "Lifetime dependence modelling using a truncated multivariate gamma distribution," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 542-549.
    9. Furman, Edward & Landsman, Zinoviy, 2005. "Risk capital decomposition for a multivariate dependent gamma portfolio," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 635-649, December.
    10. Blacher, René, 2003. "Multivariate quadratic forms of random vectors," Journal of Multivariate Analysis, Elsevier, vol. 87(1), pages 2-23, October.
    11. Zhou, Ming & Dhaene, Jan & Yao, Jing, 2018. "An approximation method for risk aggregations and capital allocation rules based on additive risk factor models," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 92-100.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:aistmt:v:44:y:1992:i:1:p:97-106. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.