IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v145y2019icp345-350.html
   My bibliography  Save this article

On the moment generating function for random vectors via inverse survival function

Author

Listed:
  • Song, Pingfan
  • Tan, Changchun
  • Wang, Shaochen

Abstract

In this paper, we propose one new alternative formula for moment generating function of random vectors via the inverse survival function. A recursive formula for moment generating function of random vector is obtained and as application, we derive the corresponding alternative formula for mixed moment. Several examples are also presented along with the theory.

Suggested Citation

  • Song, Pingfan & Tan, Changchun & Wang, Shaochen, 2019. "On the moment generating function for random vectors via inverse survival function," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 345-350.
    • Handle: RePEc:eee:stapro:v:145:y:2019:i:c:p:345-350
    DOI: 10.1016/j.spl.2018.10.012
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715218303365
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2018.10.012?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Loperfido, Nicola, 2013. "Skewness and the linear discriminant function," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 93-99.
    2. Corrado Crocetta & Nicola Loperfido, 2005. "The exact sampling distribution of L-statistics," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 213-223.
    3. Ogasawara, Haruhiko, 2018. "The inverse survival function for multivariate distributions and its application to the product moment," Statistics & Probability Letters, Elsevier, vol. 142(C), pages 71-76.
    4. Liang Hong, 2015. "Another Remark on the Alternative Expectation Formula," The American Statistician, Taylor & Francis Journals, vol. 69(3), pages 157-159, August.
    5. Cuadras, C. M., 2002. "On the Covariance between Functions," Journal of Multivariate Analysis, Elsevier, vol. 81(1), pages 19-27, April.
    6. Liang Hong, 2012. "A Remark on the Alternative Expectation Formula," The American Statistician, Taylor & Francis Journals, vol. 66(4), pages 232-233, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Liu, Yang, 2020. "A general treatment of alternative expectation formulae," Statistics & Probability Letters, Elsevier, vol. 166(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ogasawara, Haruhiko, 2018. "The inverse survival function for multivariate distributions and its application to the product moment," Statistics & Probability Letters, Elsevier, vol. 142(C), pages 71-76.
    2. Rai Piyush Kant & Sirohi Anu, 2020. "Alternative approach to moments of order statistics from one-parameter Weibull distribution," Statistics in Transition New Series, Polish Statistical Association, vol. 21(1), pages 155-162, March.
    3. Liu, Yang, 2020. "A general treatment of alternative expectation formulae," Statistics & Probability Letters, Elsevier, vol. 166(C).
    4. Wong, Kit Pong, 2021. "Comparative risk aversion with two risks," Journal of Mathematical Economics, Elsevier, vol. 97(C).
    5. Jamalizadeh, A. & Balakrishnan, N., 2010. "Distributions of order statistics and linear combinations of order statistics from an elliptical distribution as mixtures of unified skew-elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1412-1427, July.
    6. Loperfido, Nicola, 2008. "A note on skew-elliptical distributions and linear functions of order statistics," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3184-3186, December.
    7. Loperfido, Nicola, 2014. "Linear transformations to symmetry," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 186-192.
    8. Loperfido, Nicola, 2018. "Skewness-based projection pursuit: A computational approach," Computational Statistics & Data Analysis, Elsevier, vol. 120(C), pages 42-57.
    9. Ramesh Gupta & Mohammad Tajdari & Henrik Bresinsky, 2008. "Some general results for moments in bivariate distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 68(2), pages 173-187, September.
    10. Majid Asadi & Somayeh Zarezadeh, 2020. "A unified approach to constructing correlation coefficients between random variables," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(6), pages 657-676, August.
    11. Arellano-Valle, Reinaldo B. & Genton, Marc G., 2008. "On the exact distribution of the maximum of absolutely continuous dependent random variables," Statistics & Probability Letters, Elsevier, vol. 78(1), pages 27-35, January.
    12. Udo Broll & Kit Wong, 2015. "Trade and cross hedging exchange rate risk," International Economics and Economic Policy, Springer, vol. 12(4), pages 509-520, October.
    13. Georges Dionne & Jingyuan Li & Cedric Okou, 2012. "An Extension of the Consumption-based CAPM Model," Cahiers de recherche 1214, CIRPEE.
    14. Dionne, Georges & Li, Jingyuan, 2014. "When can expected utility handle first-order risk aversion?," Journal of Economic Theory, Elsevier, vol. 154(C), pages 403-422.
    15. Arellano-Valle, Reinaldo B. & Genton, Marc G., 2007. "On the exact distribution of linear combinations of order statistics from dependent random variables," Journal of Multivariate Analysis, Elsevier, vol. 98(10), pages 1876-1894, November.
    16. Cuadras, Carles M. & Greenacre, Michael, 2022. "A short history of statistical association: From correlation to correspondence analysis to copulas," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    17. Lo, Ambrose, 2017. "Functional generalizations of Hoeffding’s covariance lemma and a formula for Kendall’s tau," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 218-226.
    18. Jingyuan Li & Georges Dionne, 2010. "A Theoretical Extension of the Consumption-based CAPM Model," Cahiers de recherche 1047, CIRPEE.
    19. Li, Jingyuan, 2011. "The demand for a risky asset in the presence of a background risk," Journal of Economic Theory, Elsevier, vol. 146(1), pages 372-391, January.
    20. Jorge M. Arevalillo & Hilario Navarro, 2019. "A stochastic ordering based on the canonical transformation of skew-normal vectors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(2), pages 475-498, June.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:145:y:2019:i:c:p:345-350. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.