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ABSTRACT This article provides two copula families on [0, 1]n obtained from the Laplace transforms of the multivariate gamma distribution and the multifactor gamma distribution given by and , respectively,… Click to show full abstract
ABSTRACT This article provides two copula families on [0, 1]n obtained from the Laplace transforms of the multivariate gamma distribution and the multifactor gamma distribution given by and , respectively, where P is an affine polynomial with respect to the n variables θ1, …, θn. These copulas allow in particular to obtain multivariate gamma distributions for which the cumulative distribution functions and the probability distribution functions are known.
Keywords:
laplace;
marshall olkin;
multivariate gamma;
gamma;
distribution;
gamma distributions
Journal Title: Communications in Statistics - Theory and Methods
Year Published: 2018
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Journal Title: Communications in Statistics - Theory and Methods
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!