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 |
| |
Affiliation: | (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 |
本文献已被 SpringerLink 等数据库收录! |
|