The problem of identification of parameters by the distribution of the maximum random variable: Solution for the trivariate normal case

Let (Xi, Yi, Zi), i = 1, 2, ..., m, be a number of independent random vectors each with a non-singular trivariate normal distribution function with non-zero correlations and zero means. Let (X, Y, Z) be their maximum, i.e., X = maxiXi, Y = maxiYi, and Z = maxiZi. In this paper, we show that the distribution of (X, Y, Z) uniquely determines the parameters of the distributions of (Xi, Yi, Zi), 1 <= i <= m.

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Year of publication:	1990
Authors:	Mukherjea, Arunava ; Stephens, Richard
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 34.1990, 1, p. 95-115
Publisher:	Elsevier
Keywords:	triviate normal distributions identification of parameters the distribution of the maximum random variable

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

Persistent link: https://www.econbiz.de/10005160498