THE MOMENT-GENERATING FUNCTION OF THE MINIMUM OF BIVARIATE NORMAL RANDOM-VARIABLES

Authors
CAIN M
Citation
M. Cain, THE MOMENT-GENERATING FUNCTION OF THE MINIMUM OF BIVARIATE NORMAL RANDOM-VARIABLES, The American statistician, 48(2), 1994, pp. 124-125
Citations number
6
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
The American statistician → ACNP
ISSN journal
00031305
Volume
48
Issue
2
Year of publication
1994
Pages
124 - 125
Database
ISI
SICI code
0003-1305(1994)48:2<124:TMFOTM>2.0.ZU;2-J
Abstract
The moment-generating function of the minimum of bivariate normal rand om variables is derived through a lemma that can be used to evaluate c ertain integrals that involve the normal distribution. As an illustrat ion of the value of the moment-generating function, the mean and mean square are deduced, and they prove to be quite complicated expressions in the general case considered here.