A mean of dependent normal variables maximum
A mean value of normal sequence maximum is analyzed. In a case of standard normal variables, for n ≤ 5 (n – a length of sequence), there are formulas to express every order moments of extremes using elementary functions. For longer sequences it is not possible. Also there are analogous formulas for...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2004-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Subjects: | |
| Online Access: | https://www.journals.vu.lt/LMR/article/view/31631 |
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| Summary: | A mean value of normal sequence maximum is analyzed. In a case of standard normal variables, for n ≤ 5 (n – a length of sequence), there are formulas to express every order moments of extremes using elementary functions. For longer sequences it is not possible. Also there are analogous formulas for a mean value of two and three dependent normal variables [1]. In this work we study a relation between mean values of dependent and independent variables maxima. It is shown that there is a possibility to calculate a mean value of dependent normal variables maximum using the result of independent case. To test the relation we use computer simulation.
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| ISSN: | 0132-2818 2335-898X |