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Applied Mathematics & Physics, 2019, Volume 51, Issue 3, Pages 366–373 (Mi pmf16)

MATHEMATICS

Unimodality of probability distributions for sample maxima of independent erlang random variables

Yu. P. Virchenkoa, A. D. Novoseltsevb

a Belgorod National Research University
b Matrix

Abstract: Finite samples of independent identically distributed nonnegative random variables $\tilde{r}_1, \ldots, \tilde{r}_N$ are under consideration. It is set the problem about sufficient conditions for their common probability distribution $Q(x)=Pr\{\tilde{r}_j<x\}, j=1\div N$ which guarantee the unimodality of the probability distribution $F_N(x)=Pr\{\tilde{r}<x\}$ of random value $\tilde{r}=\max\{\tilde{r}_j; \, j=1\div N\}$. It is proven that in the case when $Q$ has the continuously differentiable density $q$ that is the Erlang density with an arbitrary order $n \in \mathbb{N}$, the distribution $F_N$ is unimodal.

Keywords: equivalent independent random values, sample maxima, probability distribution, unimodality, probability density, Erlang distribution.

UDC: 517.987

DOI: 10.18413/2075-4639-2019-51-3-366-373



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