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Identification of parameters by the distribution of the minimum: The tri-variate normal case with negative correlations

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  • Davis, J.
  • Mukherjea, A.

Abstract

Let (X1,X2,X3) be a 3-variate normal vector with zero means and a non-singular co-variance matrix [Sigma], where for i[not equal to]j, [Sigma]ij

Suggested Citation

  • Davis, J. & Mukherjea, A., 2007. "Identification of parameters by the distribution of the minimum: The tri-variate normal case with negative correlations," Journal of Multivariate Analysis, Elsevier, vol. 98(6), pages 1141-1159, July.
    • Handle: RePEc:eee:jmvana:v:98:y:2007:i:6:p:1141-1159
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    References listed on IDEAS

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    1. Hartley, Michael J & Mallela, Parthasaradhi, 1977. "The Asymptotic Properties of a Maximum Likelihood Estimator for a Model of Markets in Disequilibrium," Econometrica, Econometric Society, vol. 45(5), pages 1205-1220, July.
    2. Basu, A. P. & Ghosh, J. K., 1978. "Identifiability of the multinormal and other distributions under competing risks model," Journal of Multivariate Analysis, Elsevier, vol. 8(3), pages 413-429, September.
    3. Amemiya, Takeshi, 1974. "A Note on a Fair and Jaffee Model," Econometrica, Econometric Society, vol. 42(4), pages 759-762, July.
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    Cited by:

    1. Kim, Bara & Kim, Jeongsim, 2022. "Identification of parameters from the distribution of the maximum or minimum of Poisson random variables," Statistics & Probability Letters, Elsevier, vol. 180(C).
    2. Bi, L. & Mukherjea, A., 2010. "Identification of parameters and the distribution of the minimum of the tri-variate normal," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1819-1826, December.

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