Siegel ’ s formula via Stein ’ s identities

@inproceedings{Liu2003SiegelS,
  title={Siegel ’ s formula via Stein ’ s identities},
  author={Jun S. Liu},
  year={2003}
}
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. 
Highly Cited
This paper has 24 citations. REVIEW CITATIONS

From This Paper

Topics from this paper.

Citations

Publications citing this paper.
Showing 1-10 of 18 extracted citations

References

Publications referenced by this paper.
Showing 1-5 of 5 references

A surprising covariance involving the minimum of multivariate normal variables

  • A. F. Siegel
  • J. Amer. Statist. Assoc.,
  • 1993
Highly Influential
8 Excerpts

Natural exponential families with quadratic variance functions: statistical theory

  • C. N. Morris
  • Ann. Statist.,
  • 1983
Highly Influential
2 Excerpts

Estimation of the mean of a multivariate normal distribution

  • C. M. Stein
  • Ann . Statist
  • 1981
2 Excerpts

Estimation of the mean of a multivariate normal distribution, Ann

  • C. M. Stein
  • 1981
2 Excerpts

Similar Papers

Loading similar papers…