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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