Exact distributions of order statistics of dependent random variables from ln,p-symmetric sample distributions, n ∈ {3,4}

Müller K. and Richter W.-D.
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Müller K.: University of Rostock, Institute of Mathematics, Ulmenstraße 69, Haus 3, 18057 Rostock, Germany
Richter W.-D.: University of Rostock, Institute of Mathematics, Ulmenstraße 69, Haus 3, 18057 Rostock, Germany

Dependence Modeling, 2016, vol. 4, issue 1, 29

Abstract: Integral representations of the exact distributions of order statistics are derived in a geometric way when three or four random variables depend on each other as the components of continuous ln,psymmetrically distributed random vectors do, n ∈ {3,4}, p > 0. Once the representations are implemented in a computer program, it is easy to change the density generator of the ln,p-symmetric distribution with another one for newly evaluating the distribution of interest. For two groups of stock exchange index residuals, maximum distributions are compared under dependence and independence modeling.

Keywords: density generator; extreme value statistics; geometric measure representation; p-generalized Gaussian and Laplace distributions; financial data analysis (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:4:y:2016:i:1:p:29:n:1

DOI: 10.1515/demo-2016-0001

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