On the multivariate normal hazard

DOI10.1006/JMVA.1997.1675MaRDI QIDQ1365550zbMATH OpenOpenAlexFDO

Authors Pushpa L. Gupta, Ramesh C. Gupta

Publication date 4 September 1997

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jmva.1997.1675

zbMATH Keywords

correlation coefficientmultivariate distributionsunivariate normal distribution

Mathematics Subject Classification ID

Distribution theory (60E99) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Review text

It is well known that the hazard rate of a univariate normal distribution is increasing. \textit{N. L. Johnson} and \textit{S. Kotz} [ibid. 5, 53-66 (1975; Zbl 0297.60013)] presented a vector definition of multivariate hazard rates and associated definitions of increasing and decreasing multivariate distributions. They showed that in a bivariate normal case, the bivariate hazard is increasing provided that the correlation coefficient is positive. We first show that in the bivariate normal case, the hazard rate is increasing without the condition on the correlation coefficient imposed by Johnson and Kotz. The result is then extended to the trivariate normal case and finally to the general \(m\)-dimensional multivariate case.

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Cites work

• A vector multivariate hazard rate
• Bathtub and Related Failure Rate Characterizations
• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• Some comments on the hazard gradient

Cited in

(12)

• The multivariate hazard construction
• A note on the multivariate normal hazard
• Preservation of failure rate function shape in weighted distributions
• A characterization of the multivariate normal distribution by using the hazard gradient
• Generalized skew normal model
• Monotonicity of the (reversed) hazard rate of the (maximum) minimum in bivariate distribu\-tions
• Bivariate sinh-normal distribution and a related model
• Log-concavity of the extremes from Gumbel bivariate exponential distributions
• Log-concavity and monotonicity of hazard and reversed hazard functions of univariate and multivariate skew-normal distributions
• On Some Association Measures in the Multivariate Normal Distribution
• Reliability studies of bivariate Birnbaum-Saunders distribution
• On the hazard rate of the lognormal distribution

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