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Some Applications of Covariance Identities and Inequalities to Functions of Multivariate Normal Variables

 

作者: Christian Houdré,  

 

期刊: Journal of the American Statistical Association  （Taylor Available online 1995）
卷期: Volume 90, issue 431  

页码: 965-968

 

ISSN:0162-1459

 

年代: 1995

 

DOI:10.1080/01621459.1995.10476597

 

出版商: Taylor & Francis Group

 

关键词: Financial futures;Order statistics;Stein's identity

 

数据来源: Taylor

 

摘要:

We apply general covariance identities and inequalities to some functions of multivariate normal variables. We recover, in particular, a recent covariance identity due to Siegel and provide simple estimates on the variance of order statistics. We also present some computations.

 

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