On characteristic functions of $k$th record values from the generalized extreme value distribution and its characterization
Volume 38 / 2011
Applicationes Mathematicae 38 (2011), 357-367
MSC: Primary 62E10; Secondary 60E10.
DOI: 10.4064/am38-3-6
Abstract
Recurrence relations for the marginal, joint and conditional characteristic functions of $k$th record values from the generalized extreme value distribution are established. These relations are utilized to obtain recurrence relations for single, product and conditional moments of $k$th record values. Moreover, by making use of the recurrence relations the generalized extreme value distribution is characterized.
