Exact distributions of order statistics of dependent random variables from l_n,p-symmetric sample distributions, n ∈ {3,4}

• Autorzy: K. Müller , W.-D. Richter
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

density generator; extreme value statistics; geometric measure representation; p-generalizedGaussian and Laplace distributions; financial data analysis

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2016
• Tom: 4
• Numer: 1

Daty

otrzymano

2015-10-12

zaakceptowano

2016-02-05

online

2016-02-22

Twórcy

autor

K. Müller

• University of Rostock, Institute of Mathematics, Ulmenstraße 69, Haus 3, 18057 Rostock, Germany

autor

W.-D. Richter

• University of Rostock, Institute of Mathematics, Ulmenstraße 69, Haus 3, 18057 Rostock, Germany

Identyfikatory

DOI

10.1515/demo-2016-0001