A characterization of the multivariate normal distribution by using the hazard gradient |
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Authors: | Jorge Navarro Jose M Ruiz |
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Institution: | (1) Facultad de Matemáticas, Universidad de Murcia, 30100 Murcia, Spain |
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Abstract: | We give a general result to characterize a multivariate distribution from a relationship between the left truncated mean function
and the hazard gradient function. This result allows us to obtain new characterizations of multivariate distributions. In
particular, we show that, for the multivariate normal distribution, the simple relationship, obtained in standardized form
by McGill (1992,Communications in Statistics. Theory Methods,21(11), 3053–3060), actually characterizes the multivariate normal distribution.
Supported by Ministerio de Ciencia y Tecnologia under grant BFM2000-0362. |
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Keywords: | Hazard gradient function failure rate mean residual life left truncated mean function multivariate normal |
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