On the maximum of bivariate normal random variables

DOI10.1023/A:1013977210907MaRDI QIDQ1848529zbMATH OpenOpenAlexFDO

Authors Alan P. Ker

Publication date 21 November 2002

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1013977210907

zbMATH Keywords

inequalitymeanmonotonicityvariance

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Inequalities; stochastic orderings (60E15)

Review text

Let \((X,Y)\) be a bivariate Gaussian random vector with \(E X=\mu\), \(\operatorname{Var} X=\sigma^2\), \(\operatorname {Cov} XY=\eta\). Let \(Z=\max[X,Y]\). The author demonstrates that \(\partial E Z/\partial \sigma>0\), \(\partial E Z/\partial \eta<0\), but \(\partial \operatorname{Var} Z/\partial\mu\), \(\partial \operatorname{Var} Z/\partial\sigma\), \(\partial \operatorname{Var} Z/\partial\eta\) can be \(<\), \(=\) or \(>\) for different combinations of \((X,Y)\) parameters.

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(13)

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