A Surprising Covariance Involving the Minimum of Multivariate Normal Variables

DOI10.2307/2290699zbMath0772.62028OpenAlexW4244085721MaRDI QIDQ4694171

Andrew F. Siegel

Publication date: 11 October 1993

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2290699

zbMATH Keywords

conditional expectationprojectionanalysis of commodityextrema of order statisticsfinancial futures contractsminimum of multivariate normal variablesweighted average of covariances

Mathematics Subject Classification ID

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

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