Averages for Multivariate Random Vectors with Random Weights
We consider a random weights average of n independent continuous random vectors X1, ..., Xn, 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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Instituto Nacional de Estatística | Statistics Portugal
2020-10-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/311 |
| Summary: | We consider a random weights average of n independent continuous random vectors X1, ..., Xn, 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.
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| ISSN: | 1645-6726 2183-0371 |