Covariance between variables and their order statistics for multivariate normal variables

This file is part of IDEAS, which uses RePEc data

Covariance between variables and their order statistics for multivariate normal variables

Author Info

Rinott, Yosef
Samuel-Cahn, Ester

Additional information is available for the following registered author(s):

Yosef Rinott

Abstract

Siegel (1993, J. Amer. Statist. Assoc. 88, 77-80) showed that when (X1, ..., Xn) have a multivariate normal distribution then Cov(X1, X(1)) = [Sigma]ni = 1 Cov(X1, Xi)P(Xi = X(1)), where X(1) is the minimum of (X1, ..., Xn). We show that a similar result holds for any order statistic. Thus X(1) can be replaced by X(r), the rth order statistic, everywhere in the above formula. Normality is essentially also necessary for this result to hold.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 21 (1994)
Issue (Month): 2 (September)
Pages: 153-155
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eee:stapro:v:21:y:1994:i:2:p:153-155

Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description

Order Information:
Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
Web: https://shop.elsevier.com/order?id=505573&ref=505573_01_ooc_1&version=01

For technical questions regarding this item, or to correct its listing, contact: (Heidi Boesdal).

Statistics
Access and download statistics

Did you know? The RePEc project started in 1997. Its precursor, NetEc, dates back to 1993.

This page was last updated on 2009-11-7.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.