Computation of the Generalized F Distribution

Exact expressions for the cumulative distribution function of a random variable of the form ( α ₁ X ₁+ α ₂ X ₂)/ Y are given where X ₁, X ₂ and Y are independent chi-squared random variables. The expressions are applied to the detection of joint outliers and Hotelling's mis-specified T ² distribution.     

Approximate Identifiability, Moments and Censored Data

It is well known that the joint distribution of a pair of random variables ( X,Y ) is not identifiable on the basis of the joint distribution of the function (min ( X,Y ), 1[ X < Y ]). This paper introduces the concept of approximate identifiability and studies its relevance to the function (min ( X,Y ), Y ). It shows that the distribution of ( X,Y ) is approximately identifiable on the basis of the distribution of (min ( X,Y ), Y ). The identification is explicitly executed by a method of moments. The method is applied to the analysis of censored distributions arising in the theory of clinical trials and is compared to the standard method of Kaplan and Meier.     

Estimating P[X>Y] from exponential samples containing spurious observations

In this paper we discuss the problem of estimating P[X>Y] when X and Y are independent exponential random variables and the sample from each population contains one spurious observation. The estimates ate derived for exchangeable, identifiable and censored models and their performances are evaluated numerically.     

Estimation of pr{y<x) for truncation parameter distributions

Blackwell-Rao-Lehmann-Scheffe theory is used to derive the minimum variance ur biased estimator of P=Pr{Y<X} when the independent random variables X and Y follow thf truncation parameter distributions The two-parameter exponential, Pareto, power function and uniform distributions are considered in examples.     

On some properties of bivariate weighted distributions

Let X^w and Y^w be weighted random variables arising from the distribution of (X,Y). We explore implications of independence of X and Y on the dependence structure of (X^w, Y^w). We also show that when X and Y are independent and the weight function is symmetric, identical distribution of X^w and Y^w implies that of X and Y. We discuss application of these results to the study of a renewal process.     

On Censored Bivariate Random Variables: Copula,Characterization, and Estimation

Let (X, Y) be a bivariate random vector with joint distribution function F_{X, Y}(x, y) = C(F(x), G(y)), where C is a copula and F and G are marginal distributions of X and Y, respectively. Suppose that (X_i, Y_i), i = 1, 2, …, n is a random sample from (X, Y) but we are able to observe only the data consisting of those pairs (X_i, Y_i) for which X_i ? Y_i. We denote such pairs as (X*_i, Y_i*), i = 1, 2, …, ν, where ν is a random variable. The main problem of interest is to express the distribution function F_{X, Y}(x, y) and marginal distributions F and G with the distribution function of observed random variables X* and Y*. It is shown that if X and Y are exchangeable with marginal distribution function F, then F can be uniquely determined by the distributions of X* and Y*. It is also shown that if X and Y are independent and absolutely continuous, then F and G can be expressed through the distribution functions of X* and Y* and the stress–strength reliability P{X ? Y}. This allows also to estimate P{X ? Y} with the truncated observations (X*_i, Y_i*). The copula of bivariate random vector (X*, Y*) is also derived.     

Estimation of p(y<x) in the burr case: a comparative study

This paper provides a simulation study which compares three estimators for R = P(Y<X) when Y and X are two independent but not identically distributed Burr random variables. These estimators are the minimum variance unbiased, the maximum likelihood and Bayes estimators. Moreover, the sensitivity of Bayes estimator to the prior parameters is considered.     

Bayes and empirical bayes estimation of the probability that z > x + y

Let X, Y and Z be independent random variables with common unknown distribution F. Using the Dirichlet process prior for F and squared erro loss function, the Bayes and empirical Bayes estimators of the parameters λ(F). the probability that Z > X + Y, are derived. The limiting Bayes estimator of λ(F) under some conditions on the parameter of the process is shown to be asymptotically normal. The aysmptotic optimality of the empirical Bayes estimator of λ(F) is established. When X, Y and Z have support on the positive real line, these results are derived for randomly right censored data. This problem relates to testing whether than used discussed by Hollander and Proshcan (1972) and Chen, Hollander and Langberg (1983).     

Bayesian Estimation of Survival Functions under Stochastic Precedence

When estimating the distributions of two random variables, X and Y, investigators often have prior information that Y tends to be bigger than X. To formalize this prior belief, one could potentially assume stochastic ordering between X and Y, which implies Pr(X < or = z) > or = Pr(Y < or = z) for all z in the domain of X and Y. Stochastic ordering is quite restrictive, though, and this article focuses instead on Bayesian estimation of the distribution functions of X and Y under the weaker stochastic precedence constraint, Pr(X < or = Y) > or = 0.5. We consider the case where both X and Y are categorical variables with common support and develop a Gibbs sampling algorithm for posterior computation. The method is then generalized to the case where X and Y are survival times. The proposed approach is illustrated using data on survival after tumor removal for patients with malignant melanoma.     

SOME CHARACTERIZATIONS OF THE CAUCHY DISTRIBUTION

If X and Y are independent standard Cauchy random variables then (i) Y and (X+Y)/(1-Xu) are independent, (ii) X and (X + Y)/(1 -XU) are identically distributed, and (iii) X and 2X/(1-X²) are identically distributed. Each of these three properties is shown to characterize the Cauchy distribution among absolutely continuous distributions. Some related uniform characterizations are discussed.     

Nonparametric estimation of survival functions for doubly censored observations when the lifetime hazard rate is proportionally related to the censoring hazard rates

Let T, X and Y be non-negative random variables, where T is the time of occurrence of an event of interest, X and Y being the lefl and right censoring variables respectively.

In this paper we propose a nonparametric estimator of the survival function, ST, when T, X and Y are supposed to be independent and their corresponding hazard rates are proportionally related. In this way, our results extend Ebrahimi's work (1985) to the doubly censored data case.     

Sum,product and ratio of Pareto and gamma variables

The exact distributions of X+Y, X Y and X/(X+Y) are studied when X and Y are independent Pareto and gamma random variables. Applications are discussed, to real problems in clinical trials, computer networks and economics.     

Attaining specified reliability in component design: a stochastic approximation approach

In the design, manufacture and maintenance of components, particular attention is paid to component reliability R, the probability that the strength X of a component will exceed a stress Y to which it will be subjected. The problem addressed here is the design (or redesign) of a compoFent to meet a specified reliability R*. While certain characteristics of the random variables X and Y are assumed (symmetry of X about a unique median for example) it is not assumed that the form of the distribution of (X,Y) is known, nor that X and Y are independent. A design is recomnended based on a variation of the stochastic approximation procedure due to Dupac and Kral (1972) which in general estimates recursively the root of a regression curve assuming both independent and dependent regression variables are subject to experimental error.     

Joint distribution of simultaneous exposures to several carcinogens in a case–control study: sample size determination

Consider a population of individuals who are free of a disease under study, and who are exposed simultaneously at random exposure levels, say X,Y,Z,… to several risk factors which are suspected to cause the disease in the populationm. At any specified levels X=x, Y=y, Z=z, …, the incidence rate of the disease in the population ot risk is given by the exposure–response relationship r(x,y,z,…) = P(disease|x,y,z,…). The present paper examines the relationship between the joint distribution of the exposure variables X,Y,Z, … in the population at risk and the joint distribution of the exposure variables U,V,W,… among cases under the linear and the exponential risk models. It is proven that under the exponential risk model, these two joint distributions belong to the same family of multivariate probability distributions, possibly with different parameters values. For example, if the exposure variables in the population at risk have jointly a multivariate normal distribution, so do the exposure variables among cases; if the former variables have jointly a multinomial distribution, so do the latter. More generally, it is demonstrated that if the joint distribution of the exposure variables in the population at risk belongs to the exponential family of multivariate probability distributions, so does the joint distribution of exposure variables among cases. If the epidemiologist can specify the differnce among the mean exposure levels in the case and control groups which are considered to be clinically or etiologically important in the study, the results of the present paper may be used to make sample size determinations for the case–control study, corresponding to specified protection levels, i.e., size α and 1–β of a statistical test. The multivariate normal, the multinomial, the negative multinomial and Fisher's multivariate logarithmic series exposure distributions are used to illustrate our results.     

Stochastic Monotonicity and Conditioning in the Limit

Suppose that {( X _n , Y _n )} is a sequence of pairs of cector-valued stochastic variables which converges weakly to ( X , Y ), and that { y _n } converges to y . Sufficient conditions for the conditional distribution of X _n given Y = y are given in terms of stochastic monotonicity. Conditions, which guarantee that also moments of the conditional distributions converge to the moments of the ones of the limit, are also derived.     

A characterization of and new consistent tests for symmetry

Let X and Y be independent and identically distributed random variables having a continuous distribution function. We study new consistent tests for symmetry around a known median based on the fact that the distribution of X is symmetric around 0 if, and only if, |X| and |max(X,Y)| have the same distribution.     

Distributions of the product and ratio of Maxwell and Rayleigh random variables

The distributions of the product and ratio of independent random variables arise in many applied problems. These have been extensively studied by many researchers. In this paper, the distributions of the product | XY | and ratio have been derived, when X and Y are Maxwell and Rayleigh random variables and are distributed independently of each other. The associated cdfs, pdfs, kth moments, entropies, etc., have been given. To describe the possible shapes of the associated pdfs and entropies, the respective plots are provided. The percentage points associated with the cdfs of the product and ratio have been tabulated.     

Estimable Versions of Griffiths' Measure of Association

Many techniques have been proposed for measuring the degree of association between a pair of random variables X and Y. However, the measures often suffer from two drawbacks: they are difficult to calculate when the joint distribution of (X, Y) is known, and difficult to estimate when the joint distribution is unknown. In the present paper we present two modifications of a measure proposed by Griffiths (1972), and show that they exhibit neither of these deficiencies.     

Estimation of the Reliability of a Stress-Strength System from Power Lindley Distributions

In this paper, we are interested in the estimation of the reliability parameter R = P(X > Y) where X, a component strength, and Y, a component stress, are independent power Lindley random variables. The point and interval estimation of R, based on maximum likelihood, nonparametric and parametric bootstrap methods, are developed. The performance of the point estimate and confidence interval of R under the considered estimation methods is studied through extensive simulation. A numerical example, based on a real data, is presented to illustrate the proposed procedure.     

Some bivariate uniform distributions

Bivariate uniform distributions with dependent components are readily derived by distribution function transformations of the components of non-uniform dependent continuous bivariate random variables (X,Y). Contour plots of joint density functions show the various, and varying, forms of dependence which can arise from different distributional forms for (X,Y) and aids the choice of bivariate uniform distributions as empirical models.