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Bounds on the mean of the maximum of a number of normal random variables
Author:
Jerzy Kamburowski
DOI:
10.1080/02331888908802198
Publication Frequency:
6 issues per year
Subjects:
Mathematical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
PDF
(English)
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Abstract
A simple method producing lower and upper bounds on E max(X1,...,Xn) is presented under assumption that the Xi's are independent normal random variables. Furthermore the upper bounds are determined when the Xi's are normal and positively correlated
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| Keywords: Multivariate normal distribution; convex order relation; maximum; expected value; bounds |
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