Expansions for bivariate extreme value distributions

被引：0

作者：

Nadarajah, Saralees ^{[1
]}

机构：

[1] Univ Manchester, Sch Math, Manchester M13 9PL, Lancs, England

来源：

STATISTICS & PROBABILITY LETTERS | 2013年 / 83卷 / 03期

关键词：

Bell polynomials; Expansions; Moments; MODEL;

D O I：

10.1016/j.spl.2012.11.011

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Expressions for moment properties have not been known even for the simplest of the bivariate extreme value distributions. Here, simple expansions are derived for various properties of any given bivariate extreme value distribution. Each expansion is a single infinite sum. The properties considered include product moments, conditional moments, joint moment generating function and others. Computational efficiencies of these expansions are established with respect to standard approaches for computing moment properties. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：744 / 752

页数：9

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