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Correlation analysis of ordered symmetrically dependent observations and their concomitants of order statistics
Author(s) -
Viana Marios A. G.,
Lee HakMyung
Publication year - 2006
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.1002/cjs.5550340209
Subject(s) - covariance , permutation (music) , mathematics , dimension (graph theory) , correlation , statistics , order (exchange) , combinatorics , covariate , order statistic , covariance matrix , joint (building) , covariance and correlation , joint probability distribution , multivariate random variable , statistical physics , random variable , physics , geometry , sum of normally distributed random variables , finance , economics , architectural engineering , acoustics , engineering
Given two jointly observed random vectors Y and Z of the same dimension, let Y be a reordered version of Y and Z the resulting vector of concomitants of order statistics. When X is a covariate of interest, also jointly observed with Y, the authors obtain the joint covariance structure of ( X, y, Z ) and the related correlation parameters explicitly, under the assumption that the vector (X, Y, Z) is normal and that its joint covariance structure is permutation symmetric. They also discuss extensions to elliptically contoured distributions.