The Frailty and the Archimedean Structure of the General Multivariate Pareto Distributions
نویسنده
چکیده
The mixture property of the general multivariate Pareto MP distributions has been studied by Yeh (2004a). Arnold (1996) mentioned that any mixing distribution with support (0,∞) is a candidate for a frailty model. This fact drives Yeh to study the frailty structure of the MP distributions. It is discerned that the MP distributions is in the one-parameter kvariate Clayton family with k-variate Archimedean survival copulas and thus the MP can be treated as a marginally specified multivariate distribution. Several properties of the k-variate survival copulas and the limiting special cases of the MP Archimedean survival copulas are studied in this paper.
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