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Some properties of the minimum and the maximum of random variables with joint logconcave distributions

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  • Jorge Navarro

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  • Moshe Shaked

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  • Jorge Navarro & Moshe Shaked, 2010. "Some properties of the minimum and the maximum of random variables with joint logconcave distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 71(3), pages 313-317, May.
  • Handle: RePEc:spr:metrik:v:71:y:2010:i:3:p:313-317 DOI: 10.1007/s00184-009-0232-9
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    References listed on IDEAS

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    1. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
    2. Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
    3. Jansen, Dennis W & de Vries, Casper G, 1991. "On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective," The Review of Economics and Statistics, MIT Press, pages 18-24.
    4. Davide Ferrari & Sandra Paterlini, 2007. "The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance," Department of Economics 555, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    5. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    6. Turan G. Bali, 2003. "An Extreme Value Approach to Estimating Volatility and Value at Risk," The Journal of Business, University of Chicago Press, vol. 76(1), pages 83-108, January.
    7. Yongzhao Shao & Marjorie Hahn, 1999. "Strong Consistency of the Maximum Product of Spacings Estimates with Applications in Nonparametrics and in Estimation of Unimodal Densities," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, pages 31-49.
    8. Choi, Ki-Hong & Moon, Choon-Geol, 1997. "Generalized extreme value model and additively separable generator function," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 129-140.
    9. Hamid Mohtadi & Antu Panini Murshid, 2009. "Risk of catastrophic terrorism: an extreme value approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 537-559.
    10. Lin, Jin-Guan & Huang, Chao & Zhuang, Qing-Yun & Zhu, Li-Ping, 2010. "Estimating generalized state density of near-extreme events and its applications in analyzing stock data," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 13-20, August.
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    Cited by:

    1. Navarro, Jorge & Sarabia, José María, 2013. "Reliability properties of bivariate conditional proportional hazard rate models," Journal of Multivariate Analysis, Elsevier, vol. 113(C), pages 116-127.
    2. Hon Ng & Jorge Navarro & Narayanaswamy Balakrishnan, 2012. "Parametric inference from system lifetime data under a proportional hazard rate model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, pages 367-388.
    3. Ramesh Gupta & N. Balakrishnan, 2012. "Log-concavity and monotonicity of hazard and reversed hazard functions of univariate and multivariate skew-normal distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(2), pages 181-191, February.
    4. E. Salehi & M. Asadi, 2012. "Results on the past lifetime of (n − k + 1)-out-of-n structures with nonidentical components," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(4), pages 439-454, May.

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