A truncated bivariate generalized Pareto distribution

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.