Related papers: Bivariate gamma-geometric law and its induced L\'e…
In this article, we obtain the exact distribution of a linear combination of bilateral gamma (BG) random variables (r.v.s). Next, we discuss the distributional properties of the linear combination of BG r.v.s, including probability density…
We introduce and document a class of probability distributions, called bilateral generalized inverse Gaussian (BGIG) distributions, that are obtained by convolution of two generalized inverse Gaussian distributions supported by the positive…
The generalised extreme value (GEV) distribution is a three parameter family that describes the asymptotic behaviour of properly renormalised maxima of a sequence of independent and identically distributed random variables. If the shape…
In extreme values theory, for a sufficiently large block size, the maxima distribution is approximated by the generalized extreme value (GEV) distribution. The GEV distribution is a family of continuous probability distributions, which has…
Univariate Weibull distribution is a well-known lifetime distribution and has been widely used in reliability and survival analysis. In this paper, we introduce a new family of bivariate generalized Weibull (BGW) distributions, whose…
In this paper, we study semiparametric inference for linear multivariate Hawkes processes, a class of point processes widely used to describe self and mutually exciting phenomena. We establish a convolution theorem giving the best limiting…
The generalized extreme value (GEV) distribution is commonly employed to help estimate the likelihood of extreme events in many geophysical and other application areas. The recently proposed blended generalized extreme value (bGEV)…
In this paper, we introduce a new four-parameter generalized version of the Gompertz model which is called Beta-Gompertz (BG) distribution. It includes some well-known lifetime distributions such as beta-exponential and generalized Gompertz…
In this paper, we study some aspects on random analysis on the L\'eevy stochastic processes with margins following generalized hyperbolic distributions generated by gamma laws. In particular we study the boundedness of its total variations…
In this paper we develop a bivariate discrete generalized exponential distribution, whose marginals are discrete generalized exponential distribution as proposed by Nekoukhou, Alamatsaz and Bidram ("Discrete generalized exponential…
In this paper a new lifetime distribution, which is called the exponentiated Weibull-geometric (EWG) distribution, is introduced. This new distribution obtained by compounding the exponentiated Weibull and geometric distributions. The EWG…
Classes of multivariate and cone valued infinitely divisible Gamma distributions are introduced. Particular emphasis is put on the cone-valued case, due to the relevance of infinitely divisible distributions on the positive semi-definite…
Marshall and Olkin (1997, Biometrika, 84, 641 - 652) introduced a very powerful method to introduce an additional parameter to a class of continuous distribution functions and hence it brings more flexibility to the model. They have…
A L\'evy noise on $\mathbb{R}^d$ assigns a random real "mass" $\Pi(B)$ to each Borel subset $B$ of $\mathbb{R}^d$ with finite Lebesgue measure. The distribution of $\Pi(B)$ only depends on the Lebesgue measure of $B$, and if $B_1, ..., B_n$…
A Bayesian multivariate model with a structured covariance matrix for multi-way nested data is proposed. This flexible modeling framework allows for positive and for negative associations among clustered observations, and generalizes the…
The geometric sum plays a significant role in risk theory and reliability theory \cite{Kala97} and a prototypical example of the geometric sum is R\'enyi's theorem~\cite{Renyi56} saying a sequence of suitably parameterised geometric sums…
Although the specification of bivariate probability models using a collection of assumed conditional distributions is not a novel concept, it has received considerable attention in the last decade. In this study, a bivariate…
The tail of a bivariate distribution function in the domain of attraction of a bivariate extreme-value distribution may be approximated by the one of its extreme-value attractor. The extreme-value attractor has margins that belong to a…
A transformation of gamma max-infinitely divisible laws viz. geometric gamma max-infinitely divisible laws is considered in this paper. Some of its distributional and divisibility properties are discussed and a random time changed extremal…
We present a class of L\'evy processes for modelling financial market fluctuations: Bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then we turn to their associated L\'evy…