On Pearson-Kotz Dirichlet distributions
In this paper, we discuss some basic distributional and asymptotic properties of the Pearson-Kotz Dirichlet multivariate distributions. These distributions, which appear as the limit of conditional Dirichlet random vectors, possess many appealing properties and are interesting from theoretical as well as applied points of view. We illustrate an application concerning the approximation of the joint conditional excess distribution of elliptically symmetric random vectors.
Year of publication: |
2011
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Authors: | Balakrishnan, N. ; Hashorva, E. |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 102.2011, 5, p. 948-957
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Publisher: |
Elsevier |
Keywords: | Pearson-Kotz Dirichlet distribution Dirichlet distribution Kotz type distribution Elliptically symmetric distribution t-distribution Beta distribution Beta distribution of second Conditional limiting theorem Conditional excess distribution |
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