Rinott, Yosef; Samuel-Cahn, Ester - In: Statistics & Probability Letters 21 (1994) 2, pp. 153-155
Siegel (1993, J. Amer. Statist. Assoc. 88, 77-80) showed that when (X1, ..., Xn) have a multivariate normal distribution then Cov(X1, X(1)) = [Sigma]ni = 1 Cov(X1, Xi)P(Xi = X(1)), where X(1) is the minimum of (X1, ..., Xn). We show that a similar result holds for any order statistic. Thus X(1)...
