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Exact and asymptotic distributions of exceedance statistics for bivariate random sequences

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  • Erem, Aysegul
  • Bayramoglu, Ismihan

Abstract

For bivariate random sequences we consider random threshold models and derive the finite and asymptotic distributions of exceedance statistics. Some examples with different underlying bivariate distributions are given and the resulting new limit distribution functions are presented.

Suggested Citation

  • Erem, Aysegul & Bayramoglu, Ismihan, 2017. "Exact and asymptotic distributions of exceedance statistics for bivariate random sequences," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 181-188.
    • Handle: RePEc:eee:stapro:v:125:y:2017:i:c:p:181-188
    DOI: 10.1016/j.spl.2017.02.012
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    References listed on IDEAS

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    1. Nelsen, Roger B. & Quesada-Molina, José Juan & Rodríguez-Lallena, José Antonio & Úbeda-Flores, Manuel, 2003. "Kendall distribution functions," Statistics & Probability Letters, Elsevier, vol. 65(3), pages 263-268, November.
    2. Ismihan Bairamov & Samuel Kotz, 2001. "On distributions of exceedances associated with order statistics and record values for arbitrary distributions," Statistical Papers, Springer, vol. 42(2), pages 171-185, April.
    3. Eryilmaz, Serkan & Gebizlioglu, Omer L. & Tank, Fatih, 2011. "Modeling of claim exceedances over random thresholds for related insurance portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 496-500.
    4. Gulder Kemalbay & Ismihan Bayramoglu (Bairamov), 2015. "Joint distribution of new sample rank of bivariate order statistics," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(10), pages 2280-2289, October.
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