Expectations of the Maximum of Sums and the Sum of Maxima for Correlated Normal Variables
Abstract
This paper compares expectations of the maximum of sums and the sum of maxima for correlated normal variables. General formulas are given for the expected differences and relative expected differences. Numerical values are computed for the special case of a correlated structure with common variance and covariance to illustrate the general magnitude of the differences which may occur. It is numerically shown that an approximation to the relative differences based on the extreme value distribution is very good. General correlated models with location-scale parameters are also considered. This result should be useful in application. Examples are discussed. Copyright © 1995 by Marcel Dekker, Inc.
Recommended Citation
L. J. Bain and G. Gan, "Expectations of the Maximum of Sums and the Sum of Maxima for Correlated Normal Variables," Communications in Statistics - Simulation and Computation, vol. 24, no. 3, pp. 775 - 780, Taylor and Francis Group; Taylor and Francis, Jan 1995.
The definitive version is available at https://doi.org/10.1080/03610919508813272
Department(s)
Mathematics and Statistics
Keywords and Phrases
correlated; expectations; location-scale parameters; maximums; normal variables; variance-covariance matrix
International Standard Serial Number (ISSN)
1532-4141; 0361-0918
Document Type
Article - Journal
Document Version
Citation
File Type
text
Language(s)
English
Rights
© 2024 Taylor and Francis Group; Taylor and Francis, All rights reserved.
Publication Date
01 Jan 1995
