Siegel's formula via Stein's identities

Jun S. Liu

Statistics & Probability Letters, 1994, vol. 21, issue 3, 247-251

Abstract: Inspired by a surprising formula in Siegel (1993), we find it convenient to compute covariances, even for order statistics, by using Stein's (1972) identities. Generalizations of Siegel's formula to other order statistics as well as other distributions are obtained along this line.

Keywords: Exponential; family; Multivariate; Stein's; identity; Covariance; with; order; statistics (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (9)

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