Siegel ’ s formula via Stein ’ s identities

  title={Siegel ’ s formula via Stein ’ s identities},
  author={Jun S. Liu},
Inspired by a surprising formula in Siegel (1993), we find it convenient to compute covariances, even for order statistics, by using Stein (1972)’s identities. Generalizations of Siegel’s formula to other order statistics as well as other distributions are obtained along this line. 
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