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Conditional specifications of multivariate pareto and student distributions |
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| Authors: | Jacek Wesolowski Mohammad Ahsanullah |
| Institution: | 1. Mathematical Institute , Warsaw University of Technology , Plac Politechniki 1, Warsaw, 00-661, Poland E-mail: wesolo@plwatu21.bitnet;2. Department of Management Sciences , Rider University , Lawrenceville, NJ, 08648-3099, U.S.A E-mail: ahsan@rider.bitnet |
| Abstract: | A random vector has a multivariate Pareto distribution if one of its univariate conditional distribution is Pareto and some of its marginals are identically distributed.A general method developed in the course of the proof of this result is applied also to characterize the multivariate Student (Cauchy) measure by one univariate Student conditional distribution. |
| Keywords: | multivariate Pareto distribution multivariate Student distribution multivariate Cauchy distribution Student conditional distribution Pareto conditional distribution conditional specification characterization of probability distributions |