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arXiv 0812.0881math.PRmath.STstat.TH
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Beta随机标度下的分布和渐近性

Distribution and asymptotics under beta random scaling

Enkelejd Hashorva, Anthony Pakes

摘要:

设X,Y,B是三个独立的随机变量,使得$X$与Y B具有相同的分布函数.设B是Beta随机变量,具有正参数a,b,Y具有分布函数H。Pakes和Navarro(2007)在一些温和的条件下表明,X的分布函数H_{a,b}决定H。在此基础上,本文导出了在已知H_{a,b}的情况下计算H的递推公式。此外,我们还研究了X和Y的尾渐近行为之间的关系。我们提出了三个应用我们的渐近结果关于两个随机样本的极值与潜在的分布函数H和H_{a,b},分别和条件极限分布的二元椭圆分布。

英文摘要:

Let X,Y,B be three independent random variables such that $X$ has the same distribution function as Y B. Assume that B is a Beta random variable with positive parameters a,b and Y has distribution function H. Pakes and Navarro (2007) show under some mild conditions that the distribution function H_{a,b} of X determines H. Based on that result we derive in this paper a recursive formula for calculation of H, if H_{a,b} is known. Furthermore, we investigate the relation between the tail asymptotic behaviour of X and Y. We present three applications of our asymptotic results concerning the extremes of two random samples with underlying distribution functions H and H_{a,b}, respectively, and the conditional limiting distribution of bivariate elliptical distributions.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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