A Surprising Covariance Involving the Minimum of Multivariate Normal Variables

DOI10.2307/2290699MaRDI QIDQ4694171zbMATH OpenOpenAlexFDO

Authors Andrew F. Siegel

Publication date 11 October 1993

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2290699

zbMATH Keywords

projectionconditional expectationanalysis of commodityextrema of order statisticsfinancial futures contractsminimum of multivariate normal variablesweighted average of covariances

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30)

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Cited in

(12)

• On the multivariate extended skew-normal, normal-exponential, and normal-gamma distributions
• Extensions of Stein's Lemma for the Skew-Normal Distribution
• Stein’s Lemma for generalized skew-elliptical random vectors
• Stein's lemma for truncated elliptical random vectors
• A Stein type lemma for the multivariate generalized hyperbolic distribution
• Correlation analysis of ordered symmetrically dependent observations and their concomitants of order statistics
• The perfect marriage and much more: combining dimension reduction, distance measures and covariance
• Covariance between variables and their order statistics for multivariate normal variables
• A note on Stein's lemma for multivariate elliptical distributions
• Covariance identities for normal variables via convex polytopes
• Siegel's formula via Stein's identities
• Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution

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