Ordering extremes of interdependent random variables

Rui Fang and Xiaohu Li

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 17, 4187-4201

Abstract: For random variables with Archimedean copula or survival copula, we develop the reversed hazard rate order and the hazard rate order on sample extremes in the context of proportional reversed hazard models and proportional hazard models, respectively. The likelihood ratio order on sample maximum is also investigated for the proportional reversed hazard model. Several numerical examples are presented for illustrations as well.

Date: 2018
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DOI: 10.1080/03610926.2017.1371754

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