Conditional correlation analysis of order statistics from bivariate normal distribution with an application to evaluating inventory effects in futures market

Donald Lien and N. Balakrishnan

Statistics & Probability Letters, 2003, vol. 63, issue 3, 249-257

Abstract: In this paper, we consider the order statistics from a bivariate normal distribution and develop a conditional correlation analysis. We then apply these results to evaluate the presence of inventory effects in futures market. We also apply these results to analyze the data from a visual acuity experiment.

Keywords: Order; statistics; Bivariate; normal; distribution; Conditional; correlation; analysis; Inventory; effects; Futures; market (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (2)

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