Distribution and moments of the vector of the maximum of two absolutely continuous random vectors

被引：0
|
作者：
Messaci, Rabah [1 ]
机构：
[1] USTHB, Fac Math, Bab Ezzouar 16000, Alger, Algeria
来源：
STATISTICS & PROBABILITY LETTERS | 2014年 / 92卷
关键词：
Skew distributions; Elliptical distributions; Normal distributions; Mixture; Covariance; Order statistics; DEPENDENT RANDOM-VARIABLES; SKEW-NORMAL DISTRIBUTIONS; ORDER-STATISTICS;
D O I：
10.1016/j.spl.2014.06.004
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 paper, we determine the exact distribution of the vector of the componentwise maximum of two absolutely continuous dependent random vectors and we show that it is a finite mixture of particular skew distributions studied in the literature. The results are detailed when the two vectors are elliptically distributed and some particular cases are discussed. The exact expression of the covariance matrix is obtained in the normal case. (C) 2014 Published by Elsevier B.V.
引用
下载
收藏
页码：256 / 262
页数：7
相关论文
共 50 条
12345