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Concomitants of order statistics for dependent samples

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  • Wang, Ke
  • Nagaraja, H.N.

Abstract

We study the distributions of Y-concomitants of the X-order statistics for a special dependent sample (Xi,Yi), i=1,...,n. The dependence among the sample is due to the Xi's, which are assumed to be distributed as equally-correlated multivariate normal. The finite-sample and asymptotic distributions of concomitants are derived under this setup.

Suggested Citation

  • Wang, Ke & Nagaraja, H.N., 2009. "Concomitants of order statistics for dependent samples," Statistics & Probability Letters, Elsevier, vol. 79(4), pages 553-558, February.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:4:p:553-558
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    References listed on IDEAS

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    1. Lo, Andrew W & MacKinlay, A Craig, 1990. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 431-467.
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    1. Bairamov, Ismihan & Khaledi, Baha-Eldin & Shaked, Moshe, 2014. "Stochastic comparisons of order statistics and their concomitants," Journal of Multivariate Analysis, Elsevier, vol. 124(C), pages 105-115.
    2. Koutras, M.V. & Sofikitou, E.M., 2017. "A new bivariate semiparametric control chart based on order statistics and concomitants," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 340-347.

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