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Extremal properties of order statistic distributions for dependent samples with partially known multidimensional marginals

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  • Okolewski, Andrzej

Abstract

Let X=(X1,…,Xn) be an n-tuple of random variables where each Xj has the same known distribution function F and where there is a number k≤n such that for each i∈{1,…,k}, all i-tuples have copulas with the same known diagonal δi. A reliability system with such nonnegative component lifetimes X1,…,Xn is a system with the property that for each i≤k, all of its structurally identical sub-systems of i components have the same known reliability function. We provide a characterization for empirical distributions from the Xj’s, and apply it to derive two-sided bounds (depending on F and δi’s) for arbitrary linear combinations of distribution functions of the associated order statistics as well as to establish necessary and sufficient conditions for uniform sharpness of these bounds. Moreover, for k=2 and some classes of δ2’s, we determine stochastically extremal distributions of single order statistics.

Suggested Citation

  • Okolewski, Andrzej, 2017. "Extremal properties of order statistic distributions for dependent samples with partially known multidimensional marginals," Journal of Multivariate Analysis, Elsevier, vol. 160(C), pages 1-9.
  • Handle: RePEc:eee:jmvana:v:160:y:2017:i:c:p:1-9
    DOI: 10.1016/j.jmva.2017.05.007
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    References listed on IDEAS

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    1. Rychlik, Tomasz, 1994. "Distributions and expectations of order statistics for possibly dependent random variables," Journal of Multivariate Analysis, Elsevier, vol. 48(1), pages 31-42, January.
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    6. Navarro, Jorge & Rychlik, Tomasz, 2007. "Reliability and expectation bounds for coherent systems with exchangeable components," Journal of Multivariate Analysis, Elsevier, vol. 98(1), pages 102-113, January.
    7. Rychlik, Tomasz, 1995. "Bounds for order statistics based on dependent variables with given nonidentical distributions," Statistics & Probability Letters, Elsevier, vol. 23(4), pages 351-358, June.
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    Cited by:

    1. Barry C. Arnold & Tomasz Rychlik & Magdalena Szymkowiak, 2022. "Preservation of distributional properties of component lifetimes by system lifetimes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(4), pages 901-930, December.
    2. Catana, Luigi-Ionut, 2022. "Stochastic orders of multivariate Jones–Larsen distribution family with empirical applications in physics, economy and social sciences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).

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