This paper proposes a bootstrap goodness of fit test for the Generalized Pareto distribution (GPd) with shape parameter [gamma]. The proposed test is an intersection-union test which tests separately the cases of [gamma]=0 and [gamma]0 and rejects if both cases are rejected. If the test does not...

New estimators for the parameters of the Gamma distribution are proposed, which are used for constructing a test of fit for this model based on the ratio of two variance estimators. The asymptotic null distribution of the test statistic is also included.

The concept of the mean remaining life function is extended to the multivariate case. Some general characterization properties of multivariate mean remaning life functions (mmrl) are studied, it is shown that they determine the joint pdf uniquely. Inter alia a basic convergence result is proved...

For a fixed [alpha] 0, the totality of bivariate densities with all conditionals being of the Pareto ([alpha]) form is identified. The resulting family is of the form F(x, y) [is proportional to] [1 + [lambda]1x + [lambda]2y + [phi][lambda]1[lambda]2xy]-([alpha]+1) for suitable choices of...

Suppose (X,Y) has a (k+1)-dimensional Cauchy distribution. Consider the conditional distribution of X given Yy0, for some fixed value of . The resulting distribution is the multivariate skewed Cauchy, in which there is truncation with respect to Y: this is but one of a general class of skewed...

Let {Yn} be a sequence of i.i.d. non-negative extended real valued random variables. For c 0, consider stationary stochastic processes of the form Xn = c min(Xn-1, Yn). Subject to a regularity condition related to the behavior of FYn(y) in a neighborhood of 0, it is verified that the associated...

This paper uses an extension of a theorem of Polya to derive bounds for the variance of a random variable. These are applied to maxima and minima of a sample and the bounds are found to be quite good.