Certain bivariate distributions and random processes connected with maxima and minima

  • Tomasz J Kozubowski Department of Mathematics & Statistics, University of Nevada, Reno NV 89557, USA
  • Krzysztof Podgórski Department of Statistics School of Economics and Management, Lund University, Sweden
Keywords: Copula, distribution theory, exponentiated distribution, extremes, generalized exponential distribution, order statistics, random minimum, random maximum, Sibuya distribution

Abstract

It is well-known that [S(x)]^n and [F(x)]^n are the survival function and the
distribution function of the minimum and the maximum of n independent, identically distributed random variables, where S and F are their common survival and distribution functions, respectively. These two extreme order statistics play important role in countless applications, and are the central and well-studied objects of extreme value theory. In this work we provide stochastic representations for the quantities [S(x)]^alpha and [F(x)]^beta, where  alpha> 0 is no longer an integer, and construct a bivariate model with these margins. Our constructions and representations involve maxima and minima with a random number of terms. We also discuss generalizations to random process and further extensions.

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Section
Working Papers in Statistics