Distributions and expectations of order statistics for possibly dependent random variables

The class of all possible distribution functions of each order statistic for a sample of possibly dependent, identically distributed random variables is characterized. An effective method of determination of the extreme values for the expectation and variance of an arbitrary Borel function of order statistic is presented and applied for calculating the moments in the case of uniformly distributed random variables.

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Year of publication:	1994
Authors:	Rychlik, Tomasz
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 48.1994, 1, p. 31-42
Publisher:	Elsevier
Keywords:	dependent random variables order statistics expectation variance extreme point Pontryagin's maximum principle

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005006467