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Bounds on the mean of the maximum of a number of normal random variables |
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| Authors: | Jerzy Kamburowski |
| Abstract: | A simple method producing lower and upper bounds on E max(X1,...,Xn) is presented under assumption that the Xi's are independent normal random variables. Furthermore the upper bounds are determined when the Xi's are normal and positively correlated |
| Keywords: | Multivariate normal distribution convex order relation maximum expected value bounds |