Degree Granting Department
Mathematics and Statistics
Arunava Mukherjea, Ph.D.
Tri-variate normal, Parameter identification, Minimum variate, Asymptotic order, Tail probabilities
Let (X1,X2,X3) be a tri-variate normal vector with a non-singular co-variance matrix, and where each covariance is negative. It is shown here that it is then possible to determine the three means, the three variances and the three correlation coefficients based only on the knowledge of the probability density function for the minimum variate. We will present a method for identifying the nine parameters which consists of careful determination of the asymptotic orders of various bivariate tail probabilities.
Scholar Commons Citation
Davis, John C., "Identification of the parameters when the density of the minimum is given" (2007). Graduate Theses and Dissertations.