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Asymptotic calculations of functions of expected values and covariances of order statistics
Author(s) -
Stephens M. A.
Publication year - 1990
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 - 10.2307/3315457
Subject(s) - order statistic , completeness (order theory) , mathematics , statistics , extreme value theory , covariance , exponential function , covariance matrix , exponential distribution , mathematical analysis
Suppose m and V are respectively the vector of expected values and the covariance matrix of the order statistics of a sample of size n from a continuous distribution F . A method is presented to calculate asymptotic values of functions of m and V –1 , for distributions F which are sufficiently regular. Values are given for the normal, logistic, and extreme‐value distributions; also, for completeness, for the uniform and exponential distributions, although for these other methods must be used.