Title : ( Prediction of Variables Via Their Order Statistics in Bivariate Elliptical Distributions with Application in the Financial Markets )
Authors: Sobhan Shafiei , Mahdi Doostparast , Ahad Jamalizadeh ,
دانلود فایل برای اعضای دانشگاهAccess to full-text not allowed by authors
Abstract
Assuming that (X_1,X_2) has a bivariate elliptical distribution, we obtain an exact expression for the joint probability density function (pdf) as well as the corresponding conditional pdfs of X_1 and X_(2):=max{X_1,X_2}. The problem is motivated by an application in financial markets. Exchangeable random variables are discussed in more detail. Two special cases of the elliptical distributions that is the normal and the student s t models are investigated. For illustrative purposes, a real data set on the total personal income in California and New York is analyzed using the results obtained. Finally, some concluding remarks and further works are discussed.
Keywords
, Moment generating function; Normal distribution; Student s t, distribution; Symmetric power distribution
@article{paperid:1031304,
author = {Sobhan Shafiei and Doostparast, Mahdi and Ahad Jamalizadeh},
title = {Prediction of Variables Via Their Order Statistics in Bivariate Elliptical Distributions with Application in the Financial Markets},
journal = {Communications in Statistics - Theory and Methods},
year = {2015},
volume = {44},
number = {3},
month = {February},
issn = {0361-0926},
pages = {627--643},
numpages = {16},
keywords = {Moment generating function;
Normal distribution; Student s t-distribution; Symmetric power distribution},
}
%0 Journal Article
%T Prediction of Variables Via Their Order Statistics in Bivariate Elliptical Distributions with Application in the Financial Markets
%A Sobhan Shafiei
%A Doostparast, Mahdi
%A Ahad Jamalizadeh
%J Communications in Statistics - Theory and Methods
%@ 0361-0926
%D 2015
