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Teoriya Veroyatnostei i ee Primeneniya, 2019, Volume 64, Issue 3, Pages 578–589
DOI: https://doi.org/10.4213/tvp5199 (Mi tvp5199) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Short Communications

Upper bound for the expected minimum of dependent random variables with known Kendall's tau

A. V. Lebedev

Lomonosov Moscow State University
Full-text PDF (433 kB) Citations (1)
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DOI: https://doi.org/10.4213/tvp5199
Abstract: The paper is concerned with the expectation of the minimum of two dependent identically distributed nonnegative random variables with known Kendall correlation coefficient. Under certain conditions, the upper bound for this characteristic is obtained. The result derived is illustrated by examples. The problem under consideration can have applications in reliability theory, queueing theory, and financial mathematics.
Keywords: upper bound, minimum, maximum, copula, diagonal section, Kendall correlation coefficient.
Received: 18.01.2018
Revised: 19.01.2019
Accepted: 07.02.2019
English version:
Theory of Probability and its Applications, 2019, Volume 64, Issue 3, Pages 465–473
DOI: https://doi.org/10.1137/S0040585X97T989623
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. V. Lebedev, “Upper bound for the expected minimum of dependent random variables with known Kendall's tau”, Teor. Veroyatnost. i Primenen., 64:3 (2019), 578–589; Theory Probab. Appl., 64:3 (2019), 465–473
Citation in format AMSBIB
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  • https://doi.org/10.4213/tvp5199
  • https://www.mathnet.ru/eng/tvp/v64/i3/p578
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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