Some New Results on Covariances Involving Order Statistics from Dependent Random Variables |
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| Authors: | Wenjin Wang Sanat K. Sarkar Zhidong Bai |
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| Affiliation: | aWyeth-Ayerst Research;bTemple University;cNational Sun Yat-Sen University, Kaohsiung, Taiwan |
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| Abstract: | Formulas for covariance matrix between a random vector and its ordered components are derived for different distributions including multivariate normal,t, andF. The present formulas and related results obtained here lead to some known results in the literature as special cases. |
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| Keywords: | Order statistics mixed covariances dependent random variables |
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