On the exact distribution of the maximum of absolutely continuous dependent random variables

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dc.contributor.authorArellano Valle, Reinaldo B.
dc.contributor.authorGenton, Marc G.
dc.date.accessioned2024-01-10T13:51:27Z
dc.date.available2024-01-10T13:51:27Z
dc.date.issued2008
dc.description.abstractWe derive the exact probability density function of the maximum of arbitrary absolutely continuous dependent random variables and of absolutely continuous exchangeable random variables. We show this density is related to the family of fundamental skew distributions. In particular, we examine the case where the random variables have an elliptically contoured distribution. We study some particular examples based on the multivariate normal and multivariate Student t distributions, and discuss numerical computation issues. We illustrate our results on a genetic selection problem and on an autoregressive time series model of order one. (C) 2007 Elsevier B.V. All rights reserved.
dc.fechaingreso.objetodigital11-04-2024
dc.format.extent9 páginas
dc.fuente.origenWOS
dc.identifier.doi10.1016/j.spl.2007.04.021
dc.identifier.eissn1879-2103
dc.identifier.issn0167-7152
dc.identifier.urihttps://doi.org/10.1016/j.spl.2007.04.021
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/79603
dc.identifier.wosidWOS:000252822100005
dc.information.autorucMatemática;Arellano-Valle R;S/I;58107
dc.issue.numero1
dc.language.isoen
dc.nota.accesoContenido parcial
dc.pagina.final35
dc.pagina.inicio27
dc.publisherELSEVIER SCIENCE BV
dc.revistaSTATISTICS & PROBABILITY LETTERS
dc.rightsacceso restringido
dc.subjectelliptically contoured
dc.subjectexchangeable
dc.subjectkurtosis
dc.subjectmaximum
dc.subjectfundamental skew distribution
dc.subjectskewness
dc.subjecttime series
dc.subjectORDER STATISTICS
dc.subject.ods03 Good Health and Well-being
dc.subject.odspa03 Salud y bienestar
dc.titleOn the exact distribution of the maximum of absolutely continuous dependent random variables
dc.typeartículo
dc.volumen78
sipa.codpersvinculados58107
sipa.indexWOS
sipa.indexScopus
sipa.trazabilidadCarga SIPA;09-01-2024
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