Conditional correlation analysis of order statistics from bivariate normal distribution with an application to evaluating inventory effects in futures market.
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Publication:1423177
DOI10.1016/S0167-7152(03)00089-0zbMath1116.62349MaRDI QIDQ1423177
Donald Lien, Narayanaswamy Balakrishnan
Publication date: 14 February 2004
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Order statisticsBivariate normal distributionConditional correlation analysisFutures marketInventory effects
Measures of association (correlation, canonical correlation, etc.) (62H20) Order statistics; empirical distribution functions (62G30) Inventory, storage, reservoirs (90B05)
Related Items (6)
On the correlation structure of exponential order statistics and some extensions ⋮ Moments and properties of multiplicatively constrained bivariate lognormal distributions with applications to futures hedging ⋮ Parameter and quantile estimation for the three-parameter lognormal distribution based on statistics invariant to unknown location ⋮ A consistent method of estimation for the three-parameter lognormal distribution based on Type-II right censored data ⋮ A Note on the Distribution of Linear Functions of Two Ordered Correlated Normal Random Variables ⋮ Study of some measures of dependence between order statistics and systems
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