We propose a family of copula-based multivariate distributions with g-and-h marginals. After studying the properties of the distribution, we develop a two-step estimation strategy and analyze via ...

Recently, Jones pointed out a useful device for enriching families of univariate distributions. Typically, one may construct a random variable with distribution F by considering F-1 (U), where U is a ...

This paper is concerned with a matrix method of deriving the sampling distributions of a large class of statistics directly from the probability law for random samples from a multivariate normal ...

Extreme Value Theory (EVT) offers a rigorous framework for the statistical analysis of rare, high-impact events by focusing on the tail behaviour of distributions. This theory underpins methodologies ...

We apply distortion functions to bivariate survival functions for nonnegative random variables. This leads to a natural extension of univariate distortion risk measures to the multivariate setting.