Order statistics and their concomitants from multivariate normal mean-variance mixture distributions with application to Swiss Markets Data

被引：3

作者：

Jamalizadeh, Ahad ^{[1
]}

Pourmousa, Reza ^{[1
]}

Amiri, Mehdi ^{[2
]}

Balakrishnan, N. ^{[3
]}

机构：

[1] Shahid Bahonar Univ Kerman, Fac Math & Comp, Dept Stat, Kerman, Iran

[2] Univ Hormozgan, Fac Basic Sci, Dept Stat, Bandar Abbas, Iran

[3] McMaster Univ, Dept Math & Stat, Hamilton, ON, Canada

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2017年 / 46卷 / 22期

关键词：

Concomitants; Multivariate generalized hyperbolic distribution; Multivariate normal mean-variance mixture distribution; Multivariate selection distribution; Order statistics; LINEAR-COMBINATIONS; MAXIMUM-LIKELIHOOD;

D O I：

10.1080/03610926.2016.1257719

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：

In this article, by considering a multivariate normal mean-variance mixture distribution, we derive the exact joint distribution of linear combinations of order statistics and their concomitants. From this general result, we then deduce the exact marginal and conditional distributions of order statistics and their concomitants arising from this distribution. We finally illustrate the usefulness of these results by using a Swiss markets dataset.

引用

页码：10991 / 11009

页数：19

共 24 条

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[J]. STATISTICAL METHODS AND APPLICATIONS, 2022, 31 (03): : 679 - 707
[22] DISTRIBUTIONS OF SAMPLE MEAN AND SAMPLE VARIANCE FOR A RANDOM SAMPLE FROM A MIXTURE OF 2 NORMAL DISTRIBUTIONS
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[24] Skew-Normal Mean-Variance Mixture of Birnbaum-Saunders Distribution and Its Associated Inference and Application
Tamandi, Mostafa
Negarestani, Hossein
Jamalizadeh, Ahad
Amiri, Mehdi
[J]. JIRSS-JOURNAL OF THE IRANIAN STATISTICAL SOCIETY, 2019, 18 (02): : 87 - 113

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