Order statistics from overlapping samples: bivariate densities and regression properties

DOI10.1080/02331888.2019.1599378zbMATH Open1427.60032arXiv1903.08047OpenAlexW2921279673WikidataQ128095075 ScholiaQ128095075MaRDI QIDQ5228863FDOQ5228863

Authors: Nan-Cheng Su, Jacek Wesołowski, F. López Blázquez 

Publication date: 13 August 2019

Published in: Statistics (Search for Journal in Brave)

Abstract: In this paper we are interested in the joint distribution of two order statistics from overlapping samples. We give an explicit formula for the distribution of such a pair of random variables under the assumption that the parent distribution is absolutely continuous (with respect to the Lebesgue measure on the real line). The distribution is identified through the form of the density with respect to a measure which is a sum of the bivariate Lebesgue measure on $R^2$ and the univariate Lebesgue measure on the diagonal $(x,x):,xinR$. We are also interested in the question to what extent conditional expectation of one of such order statistic given another determines the parent distribution. In particular, we provide a new characterization by linearity of regression of an order statistic from the extended sample given the one from the original sample, special case of which solves a problem explicitly stated in the literature. It appears that to describe the correct parent distribution it is convenient to use quantile density functions. In several other cases of regressions of order statistics we provide new results regarding uniqueness of the distribution in the sample. Nevertheless the general question of identifiability of the parent distribution by regression of order statistics from overlapping samples remains open.

Full work available at URL: https://arxiv.org/abs/1903.08047

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• scientific article; zbMATH DE number 1031882

zbMATH Keywords

order statisticscharacterizationuniqueness theoremoverlapping sampleslinearity of regression

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10)

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Cited In (2)

• Linearity of regression for overlapping order statistics
• On the Similarity Structure of Order Statistics

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