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Increasing failure rate and decreasing reversed hazard rate properties of the minimum and maximum of multivariate distributions with log-concave densities
Authors:Taizhong Hu  Ying Li
Institution:(1) Department of Statistics and Finance, University of Science and Technology of China, Hefei, Anhui, 230026, People’s Republic of China
Abstract:For a multivariate random vector X = (X 1,...,X n ) with a log-concave density function, it is shown that the minimum min{X 1,...,X n } has an increasing failure rate, and the maximum max{X 1,...,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.
Keywords:Log-concavity  Increasing failure rate  Decreasing reversed hazard rate  Multivariate normal distribution  Elliptically contoured distributions
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