A Surprising Covariance Involving the Minimum of Multivariate Normal Variables (Q4694171)

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scientific article; zbMATH DE number 218461
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A Surprising Covariance Involving the Minimum of Multivariate Normal Variables
scientific article; zbMATH DE number 218461

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    A Surprising Covariance Involving the Minimum of Multivariate Normal Variables (English)
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    11 October 1993
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    minimum of multivariate normal variables
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    weighted average of covariances
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    extrema of order statistics
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    conditional expectation
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    projection
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    analysis of commodity
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    financial futures contracts
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