On the distribution of maximum of multivariate normal random vectors

Saralees Nadarajah, Emmanuel Afuecheta, Stephen Chan

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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 languageEnglish
    JournalCommunications in Statistics - Theory and Methods
    Early online date29 Oct 2018
    DOIs
    Publication statusPublished - 2018

    Keywords

    • Maximum
    • moments
    • multivariate normal distribution

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