Exact distributions of order statistics of dependent random variables from \(l_{n,p}\)-symmetric sample distributions, \(n\in\{3,4\}\)

DOI10.1515/demo-2016-0001zbMath1388.62154MaRDI QIDQ325015

Mohammad Hasan, M. Dambrine

Publication date: 17 October 2016

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2016-0001

zbMATH Keywords

financial data analysis; extreme value statistics; \(p\)-generalized Gaussian and Laplace distributions; density generator; geometric measure representation

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62G30: Order statistics; empirical distribution functions

62G32: Statistics of extreme values; tail inference

60E05: Probability distributions: general theory

Uses Software

• plfit