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Some Related Minima Stability and Minima Infinite Divisibility of the General Multivariate Pareto Distributions
Authors:Hsiaw-Chan Yeh
Affiliation:1. Department of Finance , College of Management, National Taiwan University , Taipei, Taiwan, R.O.C Yeh12345@management.ntu.edu.tw
Abstract:
This article studies the minima stable property of the general multivariate Pareto distributions MP(k)(I), MP(k)(II), MP(k)(III), MP(k)(IV) which can be applied to characterize the MP(k) distribution via its weighted ordered coordinates minima and marginal distribution. Also, the multivariate semi-Pareto distribution (denoted by MSP) is discerned in the class of geometric minima infinite divisible and geometric minima stable distributions. If the exponent measure is satisfied by some functional equation, then the geometric minima stable property can be used to characterize the MSP distribution. Finally, the finite sample minima infinite divisible property of the MP(k)(I), (II), and (IV) distributions is also discussed.
Keywords:Characterizations  Geometric minima infinite divisible  Geometric minima stable  Minima infinite divisibility  Minima stable  MP(k)(I)  MP(k)(II)  MP(k)(III)  MP(k)(IV)  Multivariate Pareto distribution  Multivariate semi-Pareto distributions  Weighted ordered coordinate minima
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