Relative variation indexes for multivariate continuous distributions on [0,)^k and extensions
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Publication:2218564
dependenceequi-variationmultivariate dispersion indexmultivariate exponential distributionover-variationunder-variation
Characterization and structure theory of statistical distributions (62E10) Point estimation (62F10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Statistical aspects of big data and data science (62R07)
Abstract: We introduce some new indexes to measure the departure of any multivariate continuous distribution on non-negative orthant from a given reference one such the uncorrelated exponential model, similar to the relative Fisher dispersion indexes of multivariate count models. The proposed multivariate variation indexes are scalar quantities, defined as ratios of two quadratic forms of the mean vector and the covariance matrix. They can be used to discriminate between continuous positive distributions. Generalized and multiple marginal variation indexes with and without correlation structure, respectively, and their relative extensions are discussed. The asymptotic behavior and other properties are studied. Illustrative examples and numerical applications are analyzed under several scenarios, leading to appropriate choices of multivariate models. Some concluding remarks and possible extensions are made.
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Cited in
(8)- Fisher dispersion index for multivariate count distributions: a review and a new proposal
- On general exponential weight functions and variation phenomenon
- Asymptotic normality of the test statistics for the unified relative dispersion and relative variation indexes
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