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Can I read A Mixed Bivariate Distribution with Exponential and Geometric Marginals on EtoBox?
A Mixed Bivariate Distribution with Exponential and Geometric Marginals by Tomasz J. Kozubowski; Anna K. Panorska is a Mathematics article available to read on EtoBox.
What is A Mixed Bivariate Distribution with Exponential and Geometric Marginals about?
We study the joint distribution of X and N, where N has a geometric distribution and X is the sum of N i.i.d. exponential variables, independent of N. We present basic properties of this class of mixed bivariate distributions, and discuss their possible applications. Our results include marginal and conditional distributions, joint integral transforms, infinite divisibility, and stability with respect to geometric summation. We also discuss maximum likelihood estimation connected with this distribution. An example from finance, where N represents the number of consecutive positive daily log-returns of currency exchange rates, illustrates the modeling potential of these laws.
Who reads A Mixed Bivariate Distribution with Exponential and Geometric Marginals?
It is typically read by researchers, students, and practitioners in Mathematics.
- Author
- Tomasz J. Kozubowski; Anna K. Panorska
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0378-3758)
- Published
- 2005
- Language
- EN
- Field
- Mathematics (Physical Sciences)