✦ LIBER ✦

Conditional correlation analysis of order statistics from bivariate normal distribution with an application to evaluating inventory effects in futures market

✍ Scribed by Donald Lien; N. Balakrishnan

Publisher: Elsevier Science
Year: 2003
Tongue: English
Weight: 207 KB
Volume: 63
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(03)00089-0

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✦ Synopsis

In this paper, we consider the order statistics from a bivariate normal distribution and develop a conditional correlation analysis. We then apply these results to evaluate the presence of inventory e ects in futures market. We also apply these results to analyze the data from a visual acuity experiment.