Short Communication: A truncated bivariate generalized Pareto distribution

Authors:
M. Masoom Ali;Saralees Nadarajah
Affiliations:
Department of Mathematical Sciences, Ball State University, Muncie, IN 47306, USA;School of Mathematics, University of Manchester, Manchester M13 9PL, UK
Venue:
Computer Communications
Year:
2007

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Abstract

Following up the recent work of Ali and Nadarajah [M.M. Ali, S. Nadarajah, A truncated Pareto distribution, Computer Communications, in press], we introduce a truncated version of the bivariate generalized Pareto distribution - the most commonly known long-tailed distribution - which possesses finite moments of all orders and could therefore be a better model for communication networks. Explicit expressions are derived for the product moments of the truncated distribution. An estimation procedure based on the method of maximum likelihood is also provided.