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Title of Journal: Stoch Environ Res Risk Assess

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Abbravation: Stochastic Environmental Research and Risk Assessment

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Springer-Verlag

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DOI

10.1002/stem.5530020202

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1436-3259

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On the performance of a new bivariate pseudo Paret

Authors: Muhammad Mohsin Gunter Spöck Jürgen Pilz
Publish Date: 2011/12/28
Volume: 26, Issue: 7, Pages: 925-945
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Abstract

A new bivariate pseudo Pareto distribution is proposed and its distributional characteristics are investigated The parameters of this distribution are estimated by the moment the maximum likelihood and the Bayesian method Point estimators of the parameters are presented for different sample sizes Asymptotic confidence intervals are constructed and the parameter modeling the dependency between two variables is checked The performance of the different estimation methods is investigated by using the bootstrap method A Markov Chain Monte Carlo simulation is conducted to estimate the Bayesian posterior distribution for different sample sizes For illustrative purposes a real set of drought data is investigatedThe authors are thankful to the Associate editor and the two referees for their valuable comments and suggestions which greatly helped to improve the paper The first author is also thankful to the Higher Education Commission of Pakistan for their financial support for this project

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