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
收藏
页码：744 / 752
页数：9
相关论文
共 50 条
  • [31] A nonparametric estimation procedure for bivariate extreme value copulas
    Caperaa, P
    Fougeres, AL
    Genest, C
    [J]. BIOMETRIKA, 1997, 84 (03) : 567 - 577
  • [32] Bivariate extreme value modeling for road safety estimation
    Zheng, Lai
    Ismail, Karim
    Sayed, Tarek
    Fatema, Tazeen
    [J]. ACCIDENT ANALYSIS AND PREVENTION, 2018, 120 : 83 - 91
  • [33] A characterization of the rate of convergence in bivariate extreme value models
    Falk, M
    Reiss, RD
    [J]. STATISTICS & PROBABILITY LETTERS, 2002, 59 (04) : 341 - 351
  • [34] Bivariate Extreme Value Analysis of Rainfall and Temperature in Nigeria
    Chukwudum, Queensley C.
    Nadarajah, Saralees
    [J]. ENVIRONMENTAL MODELING & ASSESSMENT, 2022, 27 (02) : 343 - 362
  • [35] On the characteristic functions for extreme value distributions
    Saralees Nadarajah
    Tibor K. Pogány
    [J]. Extremes, 2013, 16 : 27 - 38
  • [36] On the new type of extreme value distributions
    Nadarajah, Saralees
    Kotz, Samuel
    [J]. ENGINEERING FRACTURE MECHANICS, 2007, 74 (10) : 1694 - 1695
  • [37] Extreme value distributions of observation recurrences
    Caby, Th
    Faranda, D.
    Vaienti, S.
    Yiou, P.
    [J]. NONLINEARITY, 2021, 34 (01) : 118 - 163
  • [38] Stochastic ordering of extreme value distributions
    Wang, GH
    Lambert, JH
    Haimes, YY
    [J]. IEEE TRANSACTIONS ON SYSTEMS MAN AND CYBERNETICS PART A-SYSTEMS AND HUMANS, 1999, 29 (06): : 696 - 701
  • [39] A new type of extreme value distributions
    Kunin, B
    [J]. ENGINEERING FRACTURE MECHANICS, 1997, 58 (5-6) : 557 - 570
  • [40] On the copula for multivariate extreme value distributions
    Sanfins, Marco Aurelio
    Valle, Glauco
    [J]. BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS, 2012, 26 (03) : 288 - 305
12345