Exact distributions of order statistics from ln,p-symmetric sample distributions

We derive the exact distributions of order statistics from a finite number of, in general, dependent random variables following a joint ln,p-symmetric distribution. To this end,we first review the special cases of order statistics fromspherical aswell as from p-generalized Gaussian sample distributi...

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Bibliographic Details
Main Authors: Müller K., Richter W.-D.
Format: Article
Language:English
Published: De Gruyter 2017-08-01
Series:Dependence Modeling
Subjects:
Online Access:https://doi.org/10.1515/demo-2017-0013
Description
Summary:We derive the exact distributions of order statistics from a finite number of, in general, dependent random variables following a joint ln,p-symmetric distribution. To this end,we first review the special cases of order statistics fromspherical aswell as from p-generalized Gaussian sample distributions from the literature. To study the case of general ln,p-dependence, we use both single-out and cone decompositions of the events in the sample space that correspond to the cumulative distribution function of the kth order statistic if they are measured by the ln,p-symmetric probability measure.We show that in each case distributions of the order statistics from ln,p-symmetric sample distribution can be represented as mixtures of skewed ln−ν,p-symmetric distributions, ν ∈ {1, . . . , n − 1}.
ISSN:2300-2298