共查询到20条相似文献,搜索用时 31 毫秒
1.
Tail dependence for elliptically contoured distributions 总被引:1,自引:0,他引:1
Rafael Schmidt 《Mathematical Methods of Operations Research》2002,55(2):301-327
The relationship between the theory of elliptically contoured distributions and the concept of tail dependence is investigated.
We show that bivariate elliptical distributions possess the so-called tail dependence property if the tail of their generating
random variable is regularly varying, and we give a necessary condition for tail dependence which is somewhat weaker than
regular variation of the latter tail. In addition, we discuss the tail dependence property for some well-known examples of
elliptical distributions, such as the multivariate normal, t, logistic, and Bessel distributions. 相似文献
2.
Reinaldo B. Arellano-Valle Marc G. Genton 《Annals of the Institute of Statistical Mathematics》2010,62(2):363-381
We study conditions under which an invariance property holds for the class of selection distributions. First, we consider
selection distributions arising from two uncorrelated random vectors. In that setting, the invariance holds for the so-called
C{\cal{C}} -class and for elliptical distributions. Second, we describe the invariance property for selection distributions arising
from two correlated random vectors. The particular case of the distribution of quadratic forms and its invariance, under various
selection distributions, is investigated in more details. We describe the application of our invariance results to sample
variogram and covariogram estimators used in spatial statistics and provide a small simulation study for illustration. We
end with a discussion about other applications, for example such as linear models and indices of temporal/spatial dependence. 相似文献
3.
B.Q. Fang 《Journal of multivariate analysis》2008,99(6):1105-1127
In this paper, the noncentral matrix quadratic forms of the skew elliptical variables are studied. A family of the matrix variate noncentral generalized Dirichlet distributions is introduced as the extension of the noncentral Wishart distributions, the Dirichlet distributions and the noncentral generalized Dirichlet distributions. Main distributional properties are investigated. These include probability density and closure property under linear transformation and marginalization, the joint distribution of the sub-matrices of the matrix quadratic forms in the skew elliptical variables and the moment generating functions and Bartlett's decomposition of the matrix quadratic forms in the skew normal variables. Two versions of the noncentral Cochran's Theorem for the matrix variate skew normal distributions are obtained, providing sufficient and necessary conditions for the quadratic forms in the skew normal variables to have the matrix variate noncentral generalized Dirichlet distributions. Applications include the properties of the least squares estimation in multivariate linear model and the robustness property of the Wilk's likelihood ratio statistic in the family of the matrix variate skew elliptical distributions. 相似文献
4.
In the first part of this paper we present an overview of relationships between time- and customer-stationary distributions of queueing processes. These have been proved by using the properties of random marked point processes, stochastic processes with embedded point processes, Palm distributions and an intensity conservation principle. In the second part a necessary and sufficient condition is established for the coincidence of the two types of stationary distributions, using conditional intensities. We also formulate the property of EPSTA that includes PASTA and ASTA as particular cases. A further result concerns the conditional EPSTA property. Applications to particular queueing systems are considered. 相似文献
5.
M.C Jones 《Journal of multivariate analysis》1998,64(2):148-155
The local dependence function is constant for the bivariate normal distribution. Here we identify all other distributions which also have constant local dependence. The key property is exponential family conditional distributions and a linear conditional mean. When given two marginal distributions only, this characterisation is not very helpful, and numerical solutions are necessary. 相似文献
6.
《Journal of multivariate analysis》1986,18(1):83-92
Learn-merge invariance is a property of prior distributions (related to postulates introduced by the philosophers W. E. Johnson and R. Carnap) which is defined and discussed within the Bayesian learning model. It is shown that this property in its strong formulation characterizes the Dirichlet distributions and processes. Generalizations towards weaker formulations are outlined. 相似文献
7.
由于几何分布的无记忆性,使得几何分布在离散型寿命分布研究中起着极其重要的作用.文章给出几何分布的一个重要特性———其第一个次序统计量仍服从几何分布(称其满足统计封闭特性).针对不同的离散型寿命分布类研究其是否具有统计封闭性. 相似文献
8.
《Advances in Applied Mathematics》1987,8(2):222-236
We consider a search in which the probability that a given object will be discovered is proportional to its size and determine the family of discovery time distributions which are equivalent to this property. These distributions serve as a model for oil exploration. 相似文献
9.
Professor E. M. Klimko Professor James Yackel 《Probability Theory and Related Fields》1970,14(3):251-253
Summary We consider the first return time distributions for each state in a Markov chain and show that finiteness of entropy of these distributions is a class property for recurrent and transient classes.The work of the second author was supported in part by National Science Foundation Grant GP 7631. 相似文献
10.
We ask whether or not the saddlepoint property holds, for robust M-estimation of scale, in gross-errors and Kolmogorov neighbourhoods of certain distributions. This is of interest since the saddlepoint property implies the minimax property — that the supremum of the asymptotic variance of an M-estimator is minimized by the maximum likelihood estimator for that member of the distributional class with minimum Fisher information. Our findings are exclusively negative — the saddlepoint property fails in all cases investigated. 相似文献
11.
Fiducial inference in the pivotal family of distributions 总被引:11,自引:0,他引:11
XU Xingzhong & LI Guoying Department of Mathematics Beijing Institute of Technology Beijing China Academy of Mathematics Systems Science Chinese Academy of Sciences Beijing China 《中国科学A辑(英文版)》2006,49(3):410-432
In this paper a family, called the pivotal family, of distributions is considered. A pivotal family is determined by a generalized pivotal model. Analytical results show that a great many parametric families of distributions are pivotal. In a pivotal family of distributions a general method of deriving fiducial distributions of parameters is proposed. In the method a fiducial model plays an important role. A fiducial model is a function of a random variable with a known distribution, called the pivotal random element, when the observation of a statistic is given. The method of this paper includes some other methods of deriving fiducial distributions. Specially the first fiducial distribution given by Fisher can be derived by the method. For the monotone likelihood ratio family of distributions, which is a pivotal family, the fiducial distributions have a frequentist property in the Neyman-Pearson view. Fiducial distributions of regular parametric functions also have the above frequentist property. Some advantages of the fiducial inference are exhibited in four applications of the fiducial distribution. Many examples are given, in which the fiducial distributions cannot be derived by the existing methods. 相似文献
12.
In this article, the joint distributions of several actuarial diagnostics which are important to insurers’ running for the jump-diffusion risk process are examined. They include the ruin time, the time of the surplus process leaving zero ultimately (simply, the ultimately leaving-time), the surplus immediately prior to ruin, the supreme profits before ruin, the supreme profits and deficit until it leaves zero ultimately and so on. The explicit expressions for their distributions are obtained mainly by the various properties of L′evy process, such as the homogeneous strong Markov property and the spatial homogeneity property etc, moveover, the many properties for Brownian motion. 相似文献
13.
After defining generating functions,this paper discusses their properties,and then provides a sufFcient and necessary condition for a finite property of the moments of first entrance time distributions of Markov chains in random environments by generating functions.Finally,the paper obtains relevant conclusions of the moments of first entrance time distributions. 相似文献
14.
Chunsheng Ma 《Journal of multivariate analysis》2000,73(2):415
The ISO* property of noncentrality parameters is derived for the expected value of an ISO* function of independent nonnegative two-parameter compound Poisson random variables and is then applied to unbiasedness of tests and monotonicity of power functions of tests in an order-restricted hypothesis testing problem for the noncentrality parameter. The ISO* property and the Schur convexity are also studied for a class of two-parameter distributions which has the additive property (i.e., is closed under convolution) and contains the one-parameter family with the semigroup property as a special case. 相似文献
15.
Nadjib Bouzar 《Annals of the Institute of Statistical Mathematics》2004,56(3):497-510
The purpose of this paper is to introduce and study the concepts of discrete semi-stability and geometric semi-stability for
distributions with support inZ
+. We offer several properties, including characterizations, of discrete semi-stable distributions. We establish that these
distributions posses the property of infinite divisibility and that their probability generating functions admit canonical
representations that are analogous to those of their continuous counterparts. Properties of discrete geometric semi-stable
distributions are deduced from the results obtained for discrete semi-stability. Several limit theorems are established and
some examples are constructed. 相似文献
16.
Marc G. Genton Nicola M. R. Loperfido 《Annals of the Institute of Statistical Mathematics》2005,57(2):389-401
This paper introduces generalized skew-elliptical distributions (GSE), which include the multivariate skew-normal, skew-t, skew-Cauchy, and skew-elliptical distributions as special cases. GSE are weighted elliptical distributions but the distribution
of any even function in GSE random vectors does not depend on the weight function. In particular, this holds for quadratic
forms in GSE random vectors. This property is beneficial for inference from non-random samples. We illustrate the latter point
on a data set of Australian athletes. 相似文献
17.
The existence of sparse pseudorandom distributions is proved. These are probability distributions concentrated in a very small set of strings, yet it is infeasible for any polynomial-time algorithm to distinguish between truly random coins and coins selected according to these distributions. It is shown that such distributions can be generated by (nonpolynomial) probabilistic algorithms, while probabilistic polynomial-time algorithms cannot even approximate all the pseudorandom distributions. Moreover, we show the existence of evasive pseudorandom distributions which are not only sparse, but also have the property that no polynomial-time algorithm may find an element in their support, except for a negligible probability. All these results are proved independently of any intractability assumption. 相似文献
18.
Bivariate stable distributions are defined as those having a domain of attraction, where vectors are used for normalization. These distributions are identified and their domains of attraction are given in a number of equivalent forms. In one case, marginal convergence implies joint convergence. A bivariate optional stopping property is given. Applications to bivariate random walk are suggested. 相似文献
19.
该文研究了从x出发的正漂移Brownian Motion的极值问题,给出了关于这种随机过程的两种极大值的定义,并主要利用Brownian Motion的一些重要性质,比如正交不变性、时空齐次性及在有限停时上的强Markov性等,获得了两种极大值的分布函数的精确表达式。 相似文献
20.
《Statistics & probability letters》1986,4(5):223-225
The class of new better than used in expectation life distributions is shown to be closed under the formation of parallel systems with independent and identically distributed components. The class of differentiable life distributions with decreasing mean residual life is also proved to have the same closure property. 相似文献