Can you give a definition or reference to an article where there is a definition for a multivariate Weilbull distribution? For example,
Saman Hanif Shahbaz, Mashail Al - Sobhi, Muhammad Qaiser Shahbaz, Bander Al - Zahrani. A New Multivariate Weibull Distribution // Pak.j.stat.oper.res.Vol.XIV No .1 2018 pp75 - 88, http : // www.pjsor.com/index.php/pjsor/article/view/2192
(*(p+1)- variate Weibull distribution from Ref: http://www.pjsor.com/index.php/pjsor/article/view/2192 *)
MultivariateWeibullDistribution[p_, b_, x_] :=
b*(Product[a[i], {i, 1, p}])*(x^((p + 1)*b - 1))*(Product[
y[i]^((p + 1 - i)*a[i] - 1), {i, 1, p}])*
Exp[-(1 + Sum[Product[y[j]^a[j], {j, 1, i}], {i, 1, p}])*x^b]
In[2]:= MultivariateWeibullDistribution[3, b, x] /. {a[1] -> a1,
a[2] -> a2, a[3] -> a3, y[1] -> y1, y[2] -> y2, y[3] -> y3}
Out[2]= a1 a2 a3 b E^(
x^b (-1 - y1^a1 - y1^a1 y2^a2 - y1^a1 y2^a2 y3^a3)) x^(-1 +
4 b) y1^(-1 + 3 a1) y2^(-1 + 2 a2) y3^(-1 + a3)