A note on moments of variables summing to normal order statistics

Ruiguang Song and James A. Deddens

Statistics & Probability Letters, 1993, vol. 17, issue 5, 337-341

Abstract: This article derives means, variance--covariance matrices of concomitant vectors corresponding to normal order statistics. These results generalize the earlier work from the independent case to the correlated case. We also derive the covariance matrices of the concomitant vectors. All results are neatly expressed in matrix form with meaningful interpretation.

Keywords: Concomitants; moments; multivariate; normal; order; statistics (search for similar items in EconPapers)
Date: 1993
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