On the distribution of maximum of multivariate normal random vectors

Saralees Nadarajah, Emmanuel Afuecheta and Stephen Chan

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 10, 2425-2445

Abstract: Let (X1,…,Xk) be a multivariate normal random vector. We derive explicit expressions for the cumulative distribution function, probability density function and the moments of max(X1,…,Xk). Each expression involves single infinite sums of known special functions. Computational issues like accuracy, convergence, time and simulations are investigated.

Date: 2019
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DOI: 10.1080/03610926.2018.1465088

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