Document Zbl 1139.62007

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The compound \(F\) distribution. (English) Zbl 1139.62007

Missouri J. Math. Sci. 19, No. 3, 200-212 (2007).

Summary: The \(F\) distributions are becoming increasingly prominent in several applied areas. In this paper, a new generalization of the \(F\) distribution is introduced by compounding. It takes the form of the product of two \(F\) pdf’s. Various structural properties of this distribution are derived, including its cdf, moments, mean deviation about the mean, mean deviation about the median, entropy, asymptotic distribution of the extreme order statistics, maximum likelihood estimates and the Fisher information matrix.

Cited in 1 Document

MSC:

62E10	Characterization and structure theory of statistical distributions
62E15	Exact distribution theory in statistics
62E20	Asymptotic distribution theory in statistics
33C90	Applications of hypergeometric functions

Keywords:

Rényi entropy

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