Marshall-Olkin二元指数分布的相关结构

Q Mathematics

Statistical Methodology Pub Date : 2016-03-01 DOI:10.1016/j.stamet.2015.09.001

Gwo Dong Lin , Chin-Diew Lai , K. Govindaraju

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引用次数: 8

摘要

首先回顾了Marshall-Olkin二元指数分布(BVE)的基本性质，然后研究了它的相关结构。我们对Marshall-Olkin BVE的一些性质给出了正确的推导，并证明了无论参数如何，BVE的相关性总是小于其联结的相关性。后者意味着BVE不存在兰开斯特现象(变量的任何非线性变换都会使相关性绝对值降低)。研究了BVE的依赖结构。

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Correlation structure of the Marshall–Olkin bivariate exponential distribution

We first review the basic properties of Marshall–Olkin bivariate exponential distribution (BVE) and then investigate its correlation structure. We provide the correct reasonings for deriving some properties of the Marshall–Olkin BVE and show that the correlation of the BVE is always smaller than that of its copula regardless of the parameters. The latter implies that the BVE does not have Lancaster’s phenomenon (any nonlinear transformation of variables decreases the correlation in absolute value). The dependence structure of the BVE is also investigated.

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来源期刊

Statistical Methodology STATISTICS & PROBABILITY-

CiteScore

0.59

自引率

0.00%

发文量

期刊介绍： Statistical Methodology aims to publish articles of high quality reflecting the varied facets of contemporary statistical theory as well as of significant applications. In addition to helping to stimulate research, the journal intends to bring about interactions among statisticians and scientists in other disciplines broadly interested in statistical methodology. The journal focuses on traditional areas such as statistical inference, multivariate analysis, design of experiments, sampling theory, regression analysis, re-sampling methods, time series, nonparametric statistics, etc., and also gives special emphasis to established as well as emerging applied areas.