On the distribution of the maximum of bivariate normal random variables with general means and variances
- 1 January 1986
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 15 (11) , 3265-3276
- https://doi.org/10.1080/03610928608829308
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 Lanl ace-Stielties Transform of the maximum of bivariate normal random variables by which we obtain formulae for the first two moments in the standard way.Keywords
This publication has 1 reference indexed in Scilit:
- Moments of Order Statistics from the Equicorrelated Multivariate Normal DistributionThe Annals of Mathematical Statistics, 1962