RECURRENCE RELATIONS FOR QUOTIENT MOMENTS OF THE PARETO DISTRIBUTION BY RECORD VALUES

  • Lee, Min-Young (Department of Applied Mathematics, Dankook University) ;
  • Chang, Se-Kyung (Department of Applied Mathematics, Dankook University)
  • Published : 2004.02.01

Abstract

In this paper we establish some recurrence relations satisfied by quotient moments of upper record values from the Pareto distribution. Let {$X_n,n\qeq1$}be a sequence of independent and identically distributed random variables with a common continuous distribution function(cdf) F($chi$) and probability density function(pdf) f($chi$). Let $Y_n\;=\;mas{X_1,X_2,...,X_n}$ for $ngeq1$. We say $X_{j}$ is an upper record value of {$X_{n},n\geq1$}, if $Y_{j}$$Y_{j-1}$,j>1. The indices at which the upper record values occur are given by the record times ${u( n)}n,\geq1$, where u(n) = min{j|j >u(n-l), $X_{j}$$X_{u(n-1)}$,n\qeq2$ and u(l) = 1. Suppose $X{\epsilon}PAR(\frac{1}{\beta},\frac{1}{\beta}$ then E$(\frac{{X^\tau}}_{u(m)}}{{X^{s+1}}_{u(n)})\;=\;\frac{1}{s}E$ E$(\frac{{X^\tau}}_{u(m)}{{X^s}_{u(n-1)}})$ - $\frac{(1+\betas)}{s}E(\frac{{X^\tau}_{u(m)}}{{X^s}_{u(n)}}$ and E$(\frac{{X^{\tau+1}}_{u(m)}}{{X^s}_{u(n)}})$ = $\frac{1}{(r+1)\beta}$ [E$(\frac{{X^{\tau+1}}}_u(m)}{{X^s}_{u(n-1)}})$ - E$(\frac{{X^{\tau+1}}_u(m)}}{{X^s}_{u(n-1)}})$ - (r+1)E$(\frac{{X^\tau}_{u(m)}}{{X^s}_{u(n)}})$]

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