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Two chain-transformations and their applications to quantiles

Part of: Markov processes

Published online by Cambridge University Press:  14 July 2016

J. Bertoin ,
L. Chaumont  and
M. Yor
J. Bertoin*
Affiliation:
Université Pierre et Marie Curie
L. Chaumont*
Affiliation:
Université Pierre et Marie Curie
M. Yor*
Affiliation:
Université Pierre et Marie Curie
*
∗Postal address: Laboratoire de Probabilités, Université Pierre et Marie Curie, 4, Place Jussieu, F-75252 Paris Cedex 05, France.
∗Postal address: Laboratoire de Probabilités, Université Pierre et Marie Curie, 4, Place Jussieu, F-75252 Paris Cedex 05, France.
∗Postal address: Laboratoire de Probabilités, Université Pierre et Marie Curie, 4, Place Jussieu, F-75252 Paris Cedex 05, France.
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Abstract

We describe two chain-transformations which explain and extend identities for order statistics and quantiles proved by Wendel, Port and, more recently, by Dassios.

Keywords

ORDER STATISTICSQUANTILEEXCHANGEABILITYCHAIN TRANSFORMATION

MSC classification

Primary: 60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)
Type
Research Papers
Information
Journal of Applied Probability , Volume 34 , Issue 4 , December 1997 , pp. 882 - 897
Copyright
Copyright © Applied Probability Trust 1997 

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