Identification of parameters by the distribution of the minimum: The tri-variate normal case with negative correlations

Let (X1,X2,X3) be a 3-variate normal vector with zero means and a non-singular co-variance matrix [Sigma], where for i[not equal to]j, [Sigma]ij<=0. It is shown here that it is then possible to determine the three variances and the three correlations based only on the knowledge of the density of the minimum {X1,X2,X3}. Our method consists of careful determination and analysis of the asymptotic orders of various bivariate tail probabilities.

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Year of publication:	2007
Authors:	Davis, J. ; Mukherjea, A.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 98.2007, 6, p. 1141-1159
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005221756