Abstract
A great amount of effort has been devoted to achieving exact expressions for moments of order statistics of independent normal random variables, as well as the dependent case with the same correlation coefficients, means and variances. It does not seem as if there are handy formulae for the order statistics of even the simple bivariate normal random variables when the means and variances are allowed to be different. In this paper we give an explicit formula for the Laplace-Stieltjes Transform of the maximum of bivariate normal random variables by which we obtain formulae for the first two moments in the standard way.
| Original language | American English |
|---|---|
| Pages (from-to) | 3265-3276 |
| Number of pages | 12 |
| Journal | Communications in Statistics - Theory and Methods |
| Volume | 15 |
| Issue number | 11 |
| DOIs | |
| State | Published - 1 Jan 1986 |
| Externally published | Yes |
Keywords
- bivariate normal
- laplace-Stieltjes transform
- order statistics