The problem of identification of parameters by the distribution of the maximum random variable: Solution for the trivariate normal case

Arunava Mukherjea and Richard Stephens

Journal of Multivariate Analysis, 1990, vol. 34, issue 1, 95-115

Abstract: Let (Xi, Yi, Zi), i = 1, 2, ..., m, be a number of independent random vectors each with a non-singular trivariate normal distribution function with non-zero correlations and zero means. Let (X, Y, Z) be their maximum, i.e., X = maxiXi, Y = maxiYi, and Z = maxiZi. In this paper, we show that the distribution of (X, Y, Z) uniquely determines the parameters of the distributions of (Xi, Yi, Zi), 1

Keywords: triviate; normal; distributions; identification; of; parameters; the; distribution; of; the; maximum; random; variable (search for similar items in EconPapers)
Date: 1990
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Citations: View citations in EconPapers (4)

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