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General Multivariate Weibull Processes |
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| 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: | Two multivariate stationary processes with general multivariate Weibull marginals are developed and studied. The joint distribution of the two adjacent events in the processes and the distributions of the finite sample minima as well as the geometric minima are derived. The characterization properties of these two processes are also proved. |
| Keywords: | Autoregressive GMW-AR(1) process Characterizations General multivariate Weibull distribution GMW Level upcrossings Minification process Moving-average GMW-MA(q) process Stationary |