Some New Results on Covariances Involving Order Statistics from Dependent Random Variables
AbstractFormulas for covariance matrix between a random vector and its ordered components are derived for different distributions including multivariate normal,t, andF. The present formulas and related results obtained here lead to some known results in the literature as special cases.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 59 (1996)
Issue (Month): 2 (November)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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