Some New Results on Covariances Involving Order Statistics from Dependent Random Variables

Formulas for covariance matrix between a random vector and its ordered components are derived for different distributions including multivariate normal,t, andF. The present formulas and related results obtained here lead to some known results in the literature as special cases.

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Year of publication:	1996
Authors:	Wang, Wenjin ; Sarkar, Sanat K. ; Bai, Zhidong
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 59.1996, 2, p. 308-316
Publisher:	Elsevier
Keywords:	Order statistics mixed covariances dependent random variables

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

Persistent link: https://www.econbiz.de/10005093731