A Multivariate Gamma Distribution and its Characterizations

Abstract

SYNOPTIC ABSTRACTIn this paper, we proffer a new multivariate gamma distribution with potential applications in survival and reliability modeling. The multivariate distribution is not necessarily restricted to those with gamma marginal distributions. We provide and characterize a generalized location scale family of multivariate gamma distributions. This family possesses three-parameter gamma marginals (in most cases) and it contains absolutely continuous classes, as well as, the Marshall Olkin type of distributions with a positive probability mass on a set of measure zero. Maximum likelihood estimators are developed in the bivariate case.