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

DOI10.1515/demo-2016-0001zbMath1388.62154OpenAlexW2306527559MaRDI 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 analysisextreme value statistics\(p\)-generalized Gaussian and Laplace distributionsdensity generatorgeometric measure representation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Probability distributions: general theory (60E05)

Related Items

Extreme value distributions for dependent jointly \(l_{n,p}\)-symmetrically distributed random variables, Modelling extremal data, Exact distributions of order statistics from \(l_{n,p}\)-symmetric sample distributions, On \(p\)-generalized elliptical random processes, On \((p_{1},\dots,p_{k})\)-spherical distributions

Uses Software

• plfit

Cites Work

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