AVERAGES FOR MULTIVARIATE RANDOM VECTORS WITH RANDOM WEIGHTS: DISTRIBUTIONAL CHARACTERIZATION AND APPLICATION

* We consider a random weights average of n independent continuous random vectors [X.sub.1], ..., [X.sub.n], where random weights are cuts of [0, 1] by an increasing sequence of the order statistics of a random sample from a uniform [0,1]. We employ the multivariate Stieltjes transform and Watson [1...

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Bibliographic Details
Published inRevstat Vol. 18; no. 4; p. 453
Main Authors Soltani, A.R, Roozegar, Rasool
Format Journal Article
LanguageEnglish
Published Instituto Nacional de Estatistica 01.10.2020
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Summary:* We consider a random weights average of n independent continuous random vectors [X.sub.1], ..., [X.sub.n], where random weights are cuts of [0, 1] by an increasing sequence of the order statistics of a random sample from a uniform [0,1]. We employ the multivariate Stieltjes transform and Watson [15] celebrated formula involving the multivariate B-spline functions for distributional identification of multivariate random weights averages. We show that certain classes of Dirichlet and random scale stable random vectors are random weightes averages. Keywords: * multivariate weighted average with random weights; multivariate Cauchy Stieltjes transform; Dirichlet distribution; multivariate stable distributions. AMS Subject Classification: * 62H05, 46F12, 65R10.
ISSN:1645-6726