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Ordering extremes of interdependent random variables

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  • Rui Fang
  • Xiaohu Li

Abstract

For random variables with Archimedean copula or survival copula, we develop the reversed hazard rate order and the hazard rate order on sample extremes in the context of proportional reversed hazard models and proportional hazard models, respectively. The likelihood ratio order on sample maximum is also investigated for the proportional reversed hazard model. Several numerical examples are presented for illustrations as well.

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  • Rui Fang & Xiaohu Li, 2018. "Ordering extremes of interdependent random variables," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 47(17), pages 4187-4201, September.
    • Handle: RePEc:taf:lstaxx:v:47:y:2018:i:17:p:4187-4201
    DOI: 10.1080/03610926.2017.1371754
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    Cited by:

    1. N. Manoharan & Drorima Chatterjee & Dhruv Ashok, 2021. "The New ‘Other’: Islamic Radicalisation and De-Radicalisation in Sri Lanka," India Quarterly: A Journal of International Affairs, , vol. 77(4), pages 605-621, December.

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