Covariance between variables and their order statistics for multivariate normal variables

DOI10.1016/0167-7152(94)90223-2zbMath0803.62041OpenAlexW2013359665MaRDI QIDQ1336900

Ester Samuel-Cahn, Yosef Rinott

Publication date: 6 November 1994

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(94)90223-2

zbMATH Keywords

order statisticmultivariate normal distribution

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30)

Related Items

Covariance identities for normal variables via convex polytopes ⋮ Correlation analysis of ordered symmetrically dependent observations and their concomitants of order statistics

Cites Work

• A Surprising Covariance Involving the Minimum of Multivariate Normal Variables
• Characterization of Normal and Generalized Truncated Normal Distributions Using Order Statistics
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