| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7549746 | Statistics & Probability Letters | 2014 | 15 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Rabah Messaci,