On the distribution of maximum of multivariate normal random vectors

Saralees Nadarajah; Emmanuel Afuecheta; Stephen Chan

doi:10.1080/03610926.2018.1465088

On the distribution of maximum of multivariate normal random vectors

Saralees Nadarajah^*, Emmanuel Afuecheta, Stephen Chan

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

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Abstract

Let (Formula presented.) be a multivariate normal random vector. We derive explicit expressions for the cumulative distribution function, probability density function and the moments of (Formula presented.). Each expression involves single infinite sums of known special functions. Computational issues like accuracy, convergence, time and simulations are investigated.

Original language	English
Journal	Communications in Statistics - Theory and Methods
Early online date	29 Oct 2018
DOIs	https://doi.org/10.1080/03610926.2018.1465088
Publication status	Published - 2018

Keywords

Maximum
moments
multivariate normal distribution

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10.1080/03610926.2018.1465088

maxnormAccepted author manuscript, 554 KB

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title = "On the distribution of maximum of multivariate normal random vectors",

abstract = "Let (Formula presented.) be a multivariate normal random vector. We derive explicit expressions for the cumulative distribution function, probability density function and the moments of (Formula presented.). Each expression involves single infinite sums of known special functions. Computational issues like accuracy, convergence, time and simulations are investigated.",

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T1 - On the distribution of maximum of multivariate normal random vectors

AU - Nadarajah, Saralees

AU - Afuecheta, Emmanuel

AU - Chan, Stephen

PY - 2018

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AB - Let (Formula presented.) be a multivariate normal random vector. We derive explicit expressions for the cumulative distribution function, probability density function and the moments of (Formula presented.). Each expression involves single infinite sums of known special functions. Computational issues like accuracy, convergence, time and simulations are investigated.

KW - Maximum

KW - moments

KW - multivariate normal distribution

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U2 - 10.1080/03610926.2018.1465088

DO - 10.1080/03610926.2018.1465088

M3 - Article

AN - SCOPUS:85055690049

SN - 0361-0926

JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

ER -

On the distribution of maximum of multivariate normal random vectors

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