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Selection and order statistics from correlated normal random variables

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Abstract

This paper investigates order statistics from correlated normal random variables and its application, namely, ranking and selection. We propose a new approach to estimate the percentage points (quantiles) of the correlated normal distributions. The new approach is flexible and can be used to estimate the critical constants for the problem at hand, even when the correlations are unknown or unequal. An experimental performance evaluation demonstrates the validity and efficiency of the procedures.

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  1. BASF Corporation, 100 Park Avenue, Florham Park, New Jersey, 07932, USA

    E. Jack Chen

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  1. E. Jack Chen
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Correspondence to E. Jack Chen.

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Chen, E.J. Selection and order statistics from correlated normal random variables. Discrete Event Dyn Syst 24, 659–668 (2014). https://doi.org/10.1007/s10626-013-0180-4

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  • DOI: https://doi.org/10.1007/s10626-013-0180-4

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