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

K. Müller, and W.-D. Richter. "Exact distributions of order statistics of dependent random variables from ln,p-symmetric sample distributions, n ∈ {3,4}." Dependence Modeling 4.1 (2016): 1-29, electronic only. <http://eudml.org/doc/276744>.

@article{K2016,
abstract = {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.},
author = {K. Müller, W.-D. Richter},
journal = {Dependence Modeling},
keywords = {density generator; extreme value statistics; geometric measure representation; p-generalized Gaussian and Laplace distributions; financial data analysis; $p$-generalized Gaussian and Laplace distributions},
language = {eng},
number = {1},
pages = {1-29, electronic only},
title = {Exact distributions of order statistics of dependent random variables from ln,p-symmetric sample distributions, n ∈ \{3,4\}},
url = {http://eudml.org/doc/276744},
volume = {4},
year = {2016},
}

TY - JOUR
AU - K. Müller
AU - W.-D. Richter
TI - Exact distributions of order statistics of dependent random variables from ln,p-symmetric sample distributions, n ∈ {3,4}
JO - Dependence Modeling
PY - 2016
VL - 4
IS - 1
SP - 1
EP - 29, electronic only
AB - 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.
LA - eng
KW - density generator; extreme value statistics; geometric measure representation; p-generalized Gaussian and Laplace distributions; financial data analysis; $p$-generalized Gaussian and Laplace distributions
UR - http://eudml.org/doc/276744
ER -