Expansions for bivariate extreme value distributions

Saralees Nadarajah

Statistics & Probability Letters, 2013, vol. 83, issue 3, 744-752

Abstract: Expressions for moment properties have not been known even for the simplest of the bivariate extreme value distributions. Here, simple expansions are derived for various properties of any given bivariate extreme value distribution. Each expansion is a single infinite sum. The properties considered include product moments, conditional moments, joint moment generating function and others. Computational efficiencies of these expansions are established with respect to standard approaches for computing moment properties.

Keywords: Bell polynomials; Expansions; Moments (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2012.11.011

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