Increasing failure rate and decreasing reversed hazard rate properties of the minimum and maximum of multivariate distributions with log-concave densities

被引：3

作者：

Hu, Taizhong ^{[1
]}

Li, Ying ^{[1
]}

机构：

[1] Univ Sci & Technol China, Dept Stat & Finance, Hefei 230026, Anhui, Peoples R China

来源：

METRIKA | 2007年 / 65卷 / 03期

关键词：

log-concavity; increasing failure rate; decreasing reversed hazard rate; multivariate normal distribution; elliptically contoured distributions;

D O I：

10.1007/s00184-006-0079-2

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：

For a multivariate random vector X = (X-1, (center dot) (center dot) (center dot), X-n) with a log-concave density function, it is shown that the minimum min {X-1, (center dot center dot center dot), X-n) has an increasing failure rate, and the maximum max {X-1, (center dot) (center dot) (center dot),X-n} has a decreasing reversed hazard rate. As an immediate consequence, the result of Gupta and Gupta (in Metrika 53:39-49, 2001) on the multivariate normal distribution is obtained. One error in Gupta and Gupta method is also pointed out.

引用

页码：325 / 330

页数：6