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Concomitants of multivariate order statistics from multivariate elliptical distributions

Author

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  • Roohollah Roozegar
  • Ahad Jamalizadeh
  • Alireza Nematollahi

Abstract

In this article, we consider a (k + 1)n-dimensional elliptically contoured random vector (XT1, X2T, …, XTk, ZT)T = (X11, …, X1n, …, Xk1, …, Xkn, Z1, …, Zn)T and derive the distribution of concomitant of multivariate order statistics arising from X1, X2, …, Xk. Specially, we derive a mixture representation for concomitant of bivariate order statistics. The joint distribution of the concomitant of bivariate order statistics is also obtained. Finally, the usefulness of our result is illustrated by a real-life data.

Suggested Citation

  • Roohollah Roozegar & Ahad Jamalizadeh & Alireza Nematollahi, 2016. "Concomitants of multivariate order statistics from multivariate elliptical distributions," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(3), pages 722-738, February.
    • Handle: RePEc:taf:lstaxx:v:45:y:2016:i:3:p:722-738
    DOI: 10.1080/03610926.2013.835416
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    Cited by:

    1. Roohollah Roozegar & Ahad Jamalizadeh & Mehdi Amiri & Tsung-I Lin, 2018. "On the exact distribution of order statistics arising from a doubly truncated bivariate elliptical distribution," METRON, Springer;Sapienza Università di Roma, vol. 76(1), pages 99-114, April.

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