کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1154400 | 958384 | 2008 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the exact distribution of the maximum of absolutely continuous dependent random variables
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: On the exact distribution of the maximum of absolutely continuous dependent random variables On the exact distribution of the maximum of absolutely continuous dependent random variables](/preview/png/1154400.png)
چکیده انگلیسی
We derive the exact probability density function of the maximum of arbitrary absolutely continuous dependent random variables and of absolutely continuous exchangeable random variables. We show this density is related to the family of fundamental skew distributions. In particular, we examine the case where the random variables have an elliptically contoured distribution. We study some particular examples based on the multivariate normal and multivariate Student t distributions, and discuss numerical computation issues. We illustrate our results on a genetic selection problem and on an autoregressive time series model of order one.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 78, Issue 1, January 2008, Pages 27–35
Journal: Statistics & Probability Letters - Volume 78, Issue 1, January 2008, Pages 27–35
نویسندگان
Reinaldo B. Arellano-Valle, Marc G. Genton,