Some Applications of Covariance Identities and Inequalities to Functions of Multivariate Normal Variables

DOI10.2307/2291332zbMath0841.62048OpenAlexW4252019453MaRDI QIDQ4866622

Christian Houdré

Publication date: 18 July 1996

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

Full work available at URL: https://doi.org/10.2307/2291332

zbMATH Keywords

covariance identitiesStein's identityvariance of order statisticscovariance inequalitiesmultivariate normal variablesfinancial futures

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Multivariate analysis (62H99) Inequalities; stochastic orderings (60E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30)

Related Items (3)

Spectral estimation of non-stationary white noise ⋮ Covariance identities for normal variables via convex polytopes ⋮ The iterated jackknife estimate of variance

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