Abstract
Let (X1, . . . , Xk) be a multivariate normal random vector. We derive explicit expressions for the cumulative distribution function, probability density function and the moments of max(X1, . . . , Xk)). Each expression involves single infinite sums of known special functions. Computational issues like accuracy, convergence, time and simulations are investigated.
| Original language | English |
|---|---|
| Pages (from-to) | 2425-2445 |
| Number of pages | 21 |
| Journal | Communications in Statistics - Theory and Methods |
| Volume | 48 |
| Issue number | 10 |
| DOIs | |
| State | Published - 19 May 2019 |
| Externally published | Yes |
Bibliographical note
Publisher Copyright:© 2018, © 2018 Taylor & Francis Group, LLC.
Keywords
- Maximum
- moments
- multivariate normal distribution
ASJC Scopus subject areas
- Statistics and Probability
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