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

Wenjin Wang, Sanat K. Sarkar and Zhidong Bai

Journal of Multivariate Analysis, 1996, vol. 59, issue 2, 308-316

Abstract: 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.

Keywords: Order; statistics; mixed; covariances; dependent; random; variables (search for similar items in EconPapers)
Date: 1996
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