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Correlation Analysis of Extreme Observations from a Multivariate Normal Distribution

 

作者: Ingram Olkin,   Marlos Viana,  

 

期刊: Journal of the American Statistical Association  (Taylor Available online 1995)
卷期: Volume 90, issue 432  

页码: 1373-1379

 

ISSN:0162-1459

 

年代: 1995

 

DOI:10.1080/01621459.1995.10476642

 

出版商: Taylor & Francis Group

 

关键词: Elliptically contoured distributions;Order statistics;Regression with order statistics

 

数据来源: Taylor

 

摘要:

In measuring visual acuity, the extremes of a set of normally distributed measures are of concern, together with one or more covariates. This leads to a model in which (X, Y1,Y2) are jointly normally distributed withY1,Y2exchangeable and (X, Yi) having a common correlation. Inferential procedures are developed for correlations and linear regressions amongXand the orderedYvalues. This requires determination of the covariance matrix ofX, Y(1)= min{Y1,Y2} andY(2)= max{Y1,Y2}. The inadequacy of certain estimates that ignore the nonnormality of {X, Y(1),Y(2)} is also discussed. Although the bivariate case is emphasized because of the context of the visual acuity model, many results are given for the more general multivariate case.

 

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