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文章基本信息

  • 标题:Exact distributions of order statistics of dependent random variables from ln,p-symmetric sample distributions, n ∈ {3,4}
  • 作者:K. Müller ; W.-D. Richter
  • 期刊名称:Dependence Modeling
  • 电子版ISSN:2300-2298
  • 出版年度:2016
  • 卷号:4
  • 期号:1
  • DOI:10.1515/demo-2016-0001
  • 出版社:Walter de Gruyter GmbH
  • 摘要:

    Integral representations of the exact distributions of order statistics are derived in a geometric way when three or four random variables depend on each other as the components of continuous ln,psymmetrically distributed random vectors do, n ∈ {3,4}, p > 0. Once the representations are implemented in a computer program, it is easy to change the density generator of the ln,p-symmetric distribution with another one for newly evaluating the distribution of interest. For two groups of stock exchange index residuals, maximum distributions are compared under dependence and independence modeling.

  • 关键词:density generator ; extreme value statistics ; geometric measure representation ; p-generalized Gaussian and Laplace distributions ; financial data analysis
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