We derive the exact distributions of R = X + Y, P = X Y and W = X / (X + Y) and the corresponding moment properties when X and Y follow Muliere and Scarsini's bivariate Pareto distribution. The expressions turn out to involve special functions. We also provide extensive tabulations of the percentage points associated with the distributions. These tables -obtained using intensive computer power- will be of use to the practitioners of the bivariate Pareto distribution.
@article{urn:eudml:doc:40472,
title = {Muliere and Scarsini's bivariate Pareto distribution: sums, products and ratios.},
journal = {SORT},
volume = {29},
year = {2005},
pages = {183-199},
mrnumber = {MR2208556},
zbl = {1257.62015},
language = {en},
url = {http://dml.mathdoc.fr/item/urn:eudml:doc:40472}
}
Nadarajah, Saralees; Kotz, Samuel. Muliere and Scarsini's bivariate Pareto distribution: sums, products and ratios.. SORT, Tome 29 (2005) pp. 183-199. http://gdmltest.u-ga.fr/item/urn:eudml:doc:40472/