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DISPERSIVE ORDERING FOR THE MULTIVARIATE NORMAL DISTRIBUTION
Published online by Cambridge University Press: 05 January 2016
Abstract
Let (X1, …, Xn) be a multivariate normal random vector with any mean vector, variances equal to 1 and covariances equal and positive. Turner and Whitehead [9] established that the largest order statistic max{X1, …, Xn} is less than the standard normal random variable in the dispersive order. In this paper, we give a new and straightforward proof for this result. Several possible extensions of this result are also discussed.
- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 30 , Issue 2 , April 2016 , pp. 141 - 152
- Copyright
- Copyright © Cambridge University Press 2016