Some results on covariance of function of order statistics

Yong-cheng Qi

Statistics & Probability Letters, 1994, vol. 19, issue 2, 111-114

Abstract: Let X1:n [less-than-or-equals, slant] X2:n [less-than-or-equals, slant] ... [less-than-or-equals, slant] Xn:n denote order statistics of n i.i.d. samples. It is proven that g(Xi:n) and g(Xi + 1:n) are nonnegatively correlated for any function g with finite variance. Some examples are also constructed to show that Ma's (1992b) conjecture, that g(Xi:n) and g(Xj;n) are nonnegatively correlated for any function g, is not true.

Keywords: Covariance; order; statistics (search for similar items in EconPapers)
Date: 1994
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