Prediction of Variables Via Their Order Statistics in Bivariate Elliptical Distributions with Application in the Financial Markets

被引：0

作者：

Shafiei, Sobhan ^{[1
]}

Doostparast, Mahdi ^{[2
]}

Jamalizadeh, Ahad ^{[1
]}

机构：

[1] Shahid Bahonar Univ Kerman, Dept Stat, Kerman, Iran

[2] Ferdowsi Univ Mashhad, Dept Stat, Mashhad, Iran

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2015年 / 44卷 / 03期

关键词：

Moment generating function; Normal distribution; Student's t-distribution; Symmetric power distribution;

D O I：

10.1080/03610926.2012.752842

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Assuming that (X-1, X-2) has a bivariate elliptical distribution, we obtain an exact expression for the joint probability density function (pdf) as well as the corresponding conditional pdfs of X-1 and X-(2) := max{X-1, X-2}. The problem is motivated by an application in financial markets. Exchangeable random variables are discussed in more detail. Two special cases of the elliptical distributions that is the normal and the student's t models are investigated. For illustrative purposes, a real data set on the total personal income in California and New York is analyzed using the results obtained. Finally, some concluding remarks and further works are discussed.

引用

页码：627 / 643

页数：17

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