Multivariate Distributions

A Note on Multivariate Distributions with Specified Marginals

Journal of the Operational Research Society ◽

10.1057/jors.1988.81 ◽

1988 ◽

Vol 39 (5) ◽

pp. 477-479

Author(s):

Nicholas J. Butterworth

Keyword(s):

Multivariate Distributions

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A characterization of continuous multivariate distributions by conditional expectations

Journal of Statistical Planning and Inference ◽

10.1016/0378-3758(93)90076-i ◽

1993 ◽

Vol 37 (1) ◽

pp. 13-21 ◽

Cited By ~ 11

Author(s):

J.M. Ruiz ◽

J. Marín ◽

P. Zoroa

Keyword(s):

Multivariate Distributions ◽

Conditional Expectations

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General Theory of Multivariate Distributions

Linear Model Theory ◽

10.1002/9780470052143.ch7 ◽

2012 ◽

pp. 115-138

Keyword(s):

General Theory ◽

Multivariate Distributions

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Multivariate distributions of order κ

Statistics & Probability Letters ◽

10.1016/0167-7152(88)90052-1 ◽

1988 ◽

Vol 7 (3) ◽

pp. 207-216 ◽

Cited By ~ 18

Author(s):

Andreas N. Philippou ◽

Demetris L. Antzoulakos ◽

Gregory A. Tripsiannis

Keyword(s):

Multivariate Distributions

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Testing multivariate distributions in GARCH models

Journal of Econometrics ◽

10.1016/j.jeconom.2007.08.012 ◽

2008 ◽

Vol 143 (1) ◽

pp. 19-36 ◽

Cited By ~ 31

Author(s):

Jushan Bai ◽

Zhihong Chen

Keyword(s):

Garch Models ◽

Multivariate Distributions

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Three kinds of discrete approximations of statistical multivariate distributions and their applications

Journal of Multivariate Analysis ◽

10.1016/j.jmva.2021.104829 ◽

2021 ◽

pp. 104829

Author(s):

Jun Yang ◽

Ping He ◽

Kai-Tai Fang

Keyword(s):

Discrete Approximations ◽

Multivariate Distributions

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Cumulants of Multivariate Symmetric and Skew Symmetric Distributions

Symmetry ◽

10.3390/sym13081383 ◽

2021 ◽

Vol 13 (8) ◽

pp. 1383

Author(s):

Sreenivasa Rao Jammalamadaka ◽

Emanuele Taufer ◽

Gyorgy H. Terdik

Keyword(s):

Comprehensive Treatment ◽

Multivariate Distributions ◽

Symmetric Distributions ◽

Multivariate T Distribution ◽

T Distribution ◽

Multivariate T

This paper provides a systematic and comprehensive treatment for obtaining general expressions of any order, for the moments and cumulants of spherically and elliptically symmetric multivariate distributions; results for the case of multivariate t-distribution and related skew-t distribution are discussed in some detail.

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Multivariate fractional phase–type distributions

Fractional Calculus and Applied Analysis ◽

10.1515/fca-2020-0071 ◽

2020 ◽

Vol 23 (5) ◽

pp. 1431-1451 ◽

Cited By ~ 1

Author(s):

Hansjörg Albrecher ◽

Martin Bladt ◽

Mogens Bladt

Keyword(s):

Tail Dependence ◽

Jump Process ◽

Multivariate Distributions ◽

New Class ◽

Natural Time ◽

Special Cases ◽

Phase Type ◽

Phase Type Distributions ◽

Markovian Jump Process ◽

Heavy Tailed

Abstract We extend the Kulkarni class of multivariate phase–type distributions in a natural time–fractional way to construct a new class of multivariate distributions with heavy-tailed Mittag-Leffler(ML)-distributed marginals. The approach relies on assigning rewards to a non–Markovian jump process with ML sojourn times. This new class complements an earlier multivariate ML construction [2] and in contrast to the former also allows for tail dependence. We derive properties and characterizations of this class, and work out some special cases that lead to explicit density representations.

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