On the exact distribution of linear combinations of order statistics from dependent random variables

Reinaldo B. Arellano-Valle and Marc G. Genton

Journal of Multivariate Analysis, 2007, vol. 98, issue 10, 1876-1894

Abstract: We study the exact distribution of linear combinations of order statistics of arbitrary (absolutely continuous) dependent random variables. In particular, we examine the case where the random variables have a joint elliptically contoured distribution and the case where the random variables are exchangeable. We investigate also the particular L-statistics that simply yield a set of order statistics, and study their joint distribution. We present the application of our results to genetic selection problems, design of cellular phone receivers, and visual acuity. We give illustrative examples based on the multivariate normal and multivariate Student t distributions.

Keywords: Elliptically; contoured; Exchangeable; Fundamental; skew; distribution; Kurtosis; Maximum; Selection; mechanism; Skewness (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (19)

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