Prediction in a trivariate normal distribution via a linear combination of order statistics

A. Jamalizadeh and N. Balakrishnan

Statistics & Probability Letters, 2009, vol. 79, issue 21, 2289-2296

Abstract: In this paper, by considering a trivariate normal distribution, we derive the exact joint distribution of one variable and a linear combination of order statistics from the other two variables. We show that this joint distribution is a mixture of unified bivariate skew-normal distributions. This mixture form enables us to predict the variable based on a linear combination of order statistics from the other two variables. We finally illustrate the usefulness of these results by using a real-life data.

Date: 2009
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