The Exact Joint Distribution of Concomitants of Order Statistics and Their Order Statistics under Normality

Abstract

In this work we derive the exact joint distribution of a linear combination of concomitants of order statistics and linear combinations of their order statistics in a multivariate normal distribution. We also investigate a special case of related joint distributions discussed by He and Nagaraja (2009).

Keywords

• unified skew-normal
• L-statistic
• multivariate normal distribution
• order statistic
• concomitant
• orthant probability