A mean of dependent normal variables maximum
Articles
Agnė Burauskaitė
Kaunas University of Technology
Algimantas Aksomaitis
Kaunas University of Technology
Published 2004-12-17
https://doi.org/10.15388/LMR.2004.31631
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Keywords

extreme value
mean maximum
normal sequence

How to Cite

Burauskaitė, A. and Aksomaitis, .A. (2004) “A mean of dependent normal variables maximum”, Lietuvos matematikos rinkinys, 44(spec.), pp. 241–244. doi:10.15388/LMR.2004.31631.

Abstract

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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