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Some properties of conditional partial moments in the context of stochastic modelling

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  • S. M. Sunoj

    (Cochin University of Science and Technology)

  • N. Vipin

    (Cochin University of Science and Technology)

Abstract

There are many practical situations where the access to conditional distributions are more likely than to their joint distribution. In the present paper we study partial moments in the conditional setup. It is shown that the conditional partial moments determine the corresponding distribution uniquely. The relationships with reliability measures such as conditional hazard rate and mean residual life are obtained. Characterizations results based on conditional partial moments for some well known bivariate lifetime distributions are derived. We study properties of conditional partial moments in the context of weighted models. Characterizations of conditional partial moments using income gap ratio are also obtained. Finally, non parametric estimators for conditional partial moments are introduced which are validated using simulated and real data sets.

Suggested Citation

  • S. M. Sunoj & N. Vipin, 2019. "Some properties of conditional partial moments in the context of stochastic modelling," Statistical Papers, Springer, vol. 60(6), pages 1971-1999, December.
    • Handle: RePEc:spr:stpapr:v:60:y:2019:i:6:d:10.1007_s00362-017-0904-x
    DOI: 10.1007/s00362-017-0904-x
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    References listed on IDEAS

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    6. Paduthol Godan Sankaran & Narayanan Unnikrishnan Nair, 2004. "Partial moments for bivariate distributions," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 339-351.
    7. S. M. Sunoj & S. S. Maya, 2008. "The role of lower partial moments in stochastic modeling," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 223-242.
    8. P. G. Sankaran & N. Unnikrishnan Nair & Preethi John, 2015. "Characterizations of a family of bivariate Pareto distributions," Statistica, Department of Statistics, University of Bologna, vol. 75(3), pages 275-290.
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    Cited by:

    1. Thomas Spooner & Rahul Savani, 2020. "A Natural Actor-Critic Algorithm with Downside Risk Constraints," Papers 2007.04203, arXiv.org.

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