On the minimum and maximum of bivariate lognormal random variables
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Let \((u,\nu)\) be a bivariate Gaussian vector, \(R=\min(e^u,e^\nu)\), \(Z=\max(e^u,e^\nu)\). The author investigates monotonicity properties of \(\mathbf{E}R\), \(\mathbf{E}Z\) and Var\(R\) as functions of such parameters of \((u,\nu)\) as marginal means, variances and \(\rho=\text{corr}(u,\nu)\). E.g., \(\mathbf{E}R\) and \(\mathbf{E}Z\) are monotonically increasing functions of \(\rho\).
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Cites work
Cited in
(8)- Copula-based properties of the bivariate Dagum distribution
- On extremes of two-dimensional Student-t distribution of the Marshall-Olkin type
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