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

被引:0
作者
Taizhong Hu
Ying Li
机构
[1] University of Science and Technology of China,Department of Statistics and Finance
来源
Metrika | 2007年 / 65卷
关键词
Log-concavity; Increasing failure rate; Decreasing reversed hazard rate; Multivariate normal distribution; Elliptically contoured distributions; C13; C22; F31; F33;
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中图分类号
学科分类号
摘要
For a multivariate random vector X = (X1,...,Xn) with a log-concave density function, it is shown that the minimum min{X1,...,Xn} has an increasing failure rate, and the maximum max{X1,...,Xn} 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.
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页码:325 / 330
页数:5
相关论文
共 7 条
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[2]  
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[3]  
Eaton ML(2001)Failure rate of the minimum and maximum of a multivariate normal distribution Metrika 53 39-49
[4]  
Gupta PL(2005)Some results on the multivariate truncated normal distribution J Multivariate Anal 94 209-221
[5]  
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[6]  
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