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The Moment-Generating Function of the Minimum of Bivariate Normal Random Variables

 

作者: Michael Cain,  

 

期刊: The American Statistician  （Taylor Available online 1994）
卷期: Volume 48, issue 2  

页码: 124-125

 

ISSN:0003-1305

 

年代: 1994

 

DOI:10.1080/00031305.1994.10476039

 

出版商: Taylor & Francis Group

 

关键词: Dependent random variables;Normal integrals;Order statistics

 

数据来源: Taylor

 

摘要:

The moment-generating function of the minimum of bivariate normal random variables is derived through a lemma that can be used to evaluate certain integrals that involve the normal distribution. As an illustration of the value of the moment-generating function, the mean and mean square are deduced, and they prove to be quite complicated expressions in the general case considered here.

 

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