On Pearson-Kotz Dirichlet distributions

Authors:
N. Balakrishnan;E. Hashorva
Affiliations:
Department of Mathematics and Statistics, McMaster University, 1280 Main Street West, Hamilton, Ontario, Canada L8S 4K1;Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, Bítiment Extranef, UNIL-Dorigny, 1015 Lausanne, Switzerland
Venue:
Journal of Multivariate Analysis
Year:
2011

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Abstract

In this paper, we discuss some basic distributional and asymptotic properties of the Pearson-Kotz Dirichlet multivariate distributions. These distributions, which appear as the limit of conditional Dirichlet random vectors, possess many appealing properties and are interesting from theoretical as well as applied points of view. We illustrate an application concerning the approximation of the joint conditional excess distribution of elliptically symmetric random vectors.