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Exact distributions of order statistics of dependent random variables from ln,p-symmetric sample distributions, n ∈ {3,4}

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  • Müller K.
  • Richter W.-D.

    (University of Rostock, Institute of Mathematics, Ulmenstraße 69, Haus 3, 18057 Rostock, Germany)

Abstract

Integral representations of the exact distributions of order statistics are derived in a geometric way when three or four random variables depend on each other as the components of continuous ln,psymmetrically distributed random vectors do, n ∈ {3,4}, p > 0. Once the representations are implemented in a computer program, it is easy to change the density generator of the ln,p-symmetric distribution with another one for newly evaluating the distribution of interest. For two groups of stock exchange index residuals, maximum distributions are compared under dependence and independence modeling.

Suggested Citation

  • Müller K. & Richter W.-D., 2016. "Exact distributions of order statistics of dependent random variables from ln,p-symmetric sample distributions, n ∈ {3,4}," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-29, February.
    • Handle: RePEc:vrs:demode:v:4:y:2016:i:1:p:29:n:1
    DOI: 10.1515/demo-2016-0001
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    References listed on IDEAS

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