Order statistics and their concomitants from multivariate normal mean–variance mixture distributions with application to Swiss Markets Data. Issue 22 (17th November 2017)

• Record Type: Journal Article
• Authors: Jamalizadeh, Ahad; Pourmousa, Reza; Amiri, Mehdi; Balakrishnan, N.
• Is Part Of: Communications in statistics. Volume 46:Issue 22(2017)
• Page Start: 10991
• Page End: 11009
• Publication Date: 2017-11-17
• Subjects: Concomitants -- Multivariate generalized hyperbolic distribution -- Multivariate normal mean–variance mixture distribution -- Multivariate selection distribution -- Order statistics; 62H05 -- 62H10 -- 62E15; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2016.1257719
• Languages: English
• ISSNs: 0361-0926

Abstract

ABSTRACT: In this article, by considering a multivariate normal mean–variance mixture distribution, we derive the exact joint distribution of linear combinations of order statistics and their concomitants. From this general result, we then deduce the exact marginal and conditional distributions of order statistics and their concomitants arising from this distribution. We finally illustrate the usefulness of these results by using a Swiss markets dataset.