Concomitants of multivariate order statistics from multivariate elliptical distributions

Roohollah Roozegar, Ahad Jamalizadeh and Alireza Nematollahi

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 3, 722-738

Abstract: In this article, we consider a (k + 1)n-dimensional elliptically contoured random vector (XT1, X2T, …, XTk, ZT)T = (X11, …, X1n, …, Xk1, …, Xkn, Z1, …, Zn)T and derive the distribution of concomitant of multivariate order statistics arising from X1, X2, …, Xk. Specially, we derive a mixture representation for concomitant of bivariate order statistics. The joint distribution of the concomitant of bivariate order statistics is also obtained. Finally, the usefulness of our result is illustrated by a real-life data.

Date: 2016
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DOI: 10.1080/03610926.2013.835416

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