Econ Papers Daily / 期刊论文
具有帕累托尾部与帕累托最大值的多元分布
A Multivariate distribution with Pareto tails and Pareto maxima
摘要
We present a new multivariate distribution with Pareto distributed tails and maxima. Compared to uncorrelated univariate Pareto distributions, it features one additional parameter that governs the covariance of its realizations. We argue that it has a number of aggregation properties that make it useful for applied work alongside multivariate Gumbel and Fréchet distributions. In particular, it is well suited for applications with a participation threshold. Finally, we show that this distribution is indeed valid by proving a general result about n-increasing functions.
中文摘要
我们提出一种新的多元分布，其尾部及最大值服从帕累托分布。与不相关的单变量帕累托分布相比，它增加了一个参数，用于控制其实现值的协方差。我们认为，该分布具有若干聚合性质，使其在应用工作中与多元Gumbel和Fréchet分布同样有用。特别是，它非常适合具有参与门槛的应用场景。最后，我们通过证明关于n递增函数的一般性结果，表明该分布确实是有效的。