Multivariate order statistics via multivariate concomitants

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Abstract

Let under(X, -)1, ..., under(X, -)n denote a set of n independent identically distributed k-dimensional absolutely continuous random variables. A general class of complete orderings of such random vectors is supplied by viewing them as concomitants of an auxiliary random variable. The resulting definitions of multivariate order statistics subsume and extend orderings that have been previously proposed such as norm ordering and N-conditional ordering. Analogous concepts of multivariate record values and multivariate generalized order statistics are also described. © 2008 Elsevier Inc. All rights reserved.

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Arnold, B. C., Castillo, E., & Sarabia, J. M. (2009). Multivariate order statistics via multivariate concomitants. Journal of Multivariate Analysis, 100(5), 946–951. https://doi.org/10.1016/j.jmva.2008.09.011

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