Conditional correlation analysis of order statistics from bivariate normal distribution with an application to evaluating inventory effects in futures market.

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)

zbMATH Keywords

Order statisticsBivariate normal distributionConditional correlation analysisFutures marketInventory effects

Mathematics Subject Classification ID

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

Cites Work

• Correlation Analysis of Extreme Observations from a Multivariate Normal Distribution
• Cross moments of extreme observai ions from a multtvariate lognormal distribution
• MOMENTS OF ORDER STATISTICS FROM A NORMAL POPULATION
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