Selection and order statistics from correlated normal random variables

DOI10.1007/s10626-013-0180-4zbMath1302.93191OpenAlexW2071503356MaRDI QIDQ481364

E.~Jack Chen

Publication date: 12 December 2014

Published in: Discrete Event Dynamic Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10626-013-0180-4

zbMATH Keywords

order statisticssimulationranking and selection

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Stochastic systems in control theory (general) (93E03)

Related Items (1)

Volatility estimation and jump detection for drift-diffusion processes

Cites Work

• Unnamed Item
• A revisit of two-stage selection procedures
• Using ordinal optimization approach to improve efficiency of selection procedures
• Estimating steady-state distributions via simulation-generated histograms
• A new approach to estimate the critical constant of selection procedures
• Exact simultaneous confidence intervals for a finite set of contrasts of three, four or five generally correlated normal means
• On the exact distribution of the maximum of absolutely continuous dependent random variables
• On the order statistics from equally correlated normal random variables
• Approximations to the probability integral and certain percentage points of a multivariate analogue of Student's t-distribution

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