Ordering extremes of interdependent random variables

Rui Fang, Xiaohu Li

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

For random variables with Archimedean copula or survival copula, we develop the reversed hazard rate order and the hazard rate order on sample extremes in the context of proportional reversed hazard models and proportional hazard models, respectively. The likelihood ratio order on sample maximum is also investigated for the proportional reversed hazard model. Several numerical examples are presented for illustrations as well.

Original languageEnglish
Pages (from-to)4187-4201
Number of pages15
JournalCommunications in Statistics - Theory and Methods
Volume47
Issue number17
DOIs
StatePublished - 2 Sep 2018

Keywords

  • Archimedean copula
  • Hazard rate order
  • Proportional hazard model
  • Proportional reversed hazard model
  • Reversed hazard rate order

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