The Exact Distribution of the Maximum, Minimum and the Range of Multinomial/Dirichlet and Multivariate Hypergeometric Frequencies

The exact joint distribution of the maximum and minimum of a multinomial distribution of n balls in m urns is compactly represented as a product of stochastic matrices. This representation does not require equal urn probabilities, is invariant to urn order, and permits rapid calculation of exact probabilities. The exact distribution of the multinomial range is also derived. An application to the September effect in stock returns is presented

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Year of publication:	[2010]
Authors:	Corrado, Charles J.
Publisher:	[2010]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (28 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 19, 2010 erstellt
Other identifiers:	10.2139/ssrn.989082 [DOI]
Classification:	C10 - Econometric and Statistical Methods: General. General ; C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012717230