On the Multivariate Normal Hazard
AbstractIt is well known that the hazard rate of a univariate normal distribution is increasing. In this paper, we prove that the hazard gradient, in the case of general multivariate normal distribution, is increasing in the sense of Johnson and Kotz.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 62 (1997)
Issue (Month): 1 (July)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marshall, Albert W., 1975. "Some comments on the hazard gradient," Stochastic Processes and their Applications, Elsevier, vol. 3(3), pages 293-300, July.
- Johnson, N. L. & Kotz, Samuel, 1975. "A vector multivariate hazard rate," Journal of Multivariate Analysis, Elsevier, vol. 5(1), pages 53-66, March.
- Jorge Navarro & Jose Ruiz, 2004. "A characterization of the multivariate normal distribution by using the hazard gradient," Annals of the Institute of Statistical Mathematics, Springer, vol. 56(2), pages 361-367, June.
- Ramesh Gupta & N. Balakrishnan, 2012. "Log-concavity and monotonicity of hazard and reversed hazard functions of univariate and multivariate skew-normal distributions," Metrika, Springer, vol. 75(2), pages 181-191, February.
- Ma, Chunsheng, 2000. "A Note on the Multivariate Normal Hazard," Journal of Multivariate Analysis, Elsevier, vol. 73(2), pages 282-283, May.
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