Order statistics and their concomitants from multivariate normal mean–variance mixture distributions with application to Swiss Markets Data

Ahad Jamalizadeh, Reza Pourmousa, Mehdi Amiri and N. Balakrishnan

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 22, 10991-11009

Abstract: In this article, by considering a multivariate normal mean–variance mixture distribution, we derive the exact joint distribution of linear combinations of order statistics and their concomitants. From this general result, we then deduce the exact marginal and conditional distributions of order statistics and their concomitants arising from this distribution. We finally illustrate the usefulness of these results by using a Swiss markets dataset.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:46:y:2017:i:22:p:10991-11009

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DOI: 10.1080/03610926.2016.1257719

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