Sankhya: The Indian Journal of Statistics

2003, Volume 65, Pt. 2, 307--316

Multivariate Covariance Identities With An Application To Order Statistics


N. PAPADATOS, and V. PAPATHANASIOU, University of Athens, Greece

SUMMARY: General mutlivariate covariance identities are obtained, and some applications are given. The Siegel's identity for the Normal is extended to other distributions. Some characterization results are also provided and, furtermore, upper and lower variance bounds for linear estimators based on normal order statistics are obtained.

AMS (1991) subject classification. 62H05, 60E15.

Key words and phrases. Stein type covariance identities, order statistics, variance bounds.

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