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The covariance matrix of normal order statistics |
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| Authors: | C S Davis M A Stephens |
| Institution: | McMaster University , Hamilton, Ontario, Canada |
| Abstract: | An approximation is given to calculate V, the covariance matrix for normal order statistics. The approximation gives considerable improvement over previous approximations, and the computing algorithm is available from the authors. |
| Keywords: | normal distribution covariance matrix calculations goodness-of-fit tests generalized least squares |