Distributions of order statistics and linear combinations of order statistics from an elliptical distribution as mixtures of unified skew-elliptical distributions

We consider here the distributions of order statistics and linear combinations of order statistics from an elliptical distribution. We show that these distributions can be expressed as mixtures of unified skew-elliptical distributions, and then use these mixture representations to derive their moment generating functions and moments, when they exist.

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Year of publication:	2010
Authors:	Jamalizadeh, A. ; Balakrishnan, N.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 101.2010, 6, p. 1412-1427
Publisher:	Elsevier
Keywords:	Elliptical distribution Unified skew-elliptical distribution Order statistics Mixture distribution Linear combination Unified skew-normal distribution Unified skew-t distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008488083