Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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A Note on the Covariance Matrix of Order Statistics of Standard normal Observations

  • Published : 2000.04.01
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Abstract

We noted a property of a stationary distribution on the matrix C, which is the covariance matrix of order statistics of standard normal distribution That is the sup norm of th powers of C is ee' divided by its dimension. The matrix C can be taken as a transition probability matrix in an acyclic Markov chain.

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References

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