A property of coefficients of variation for ordered bivariate log-normal variables |
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Authors: | Donald Lien David Rearden |
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Institution: | 1. Department of Economics , University of Kansas , Lawrence , KS , 66045;2. Kansas Corporation Commission , Topeka , KS , 666041550 SW Arrowhead Road |
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Abstract: | This paper considers the maximum and minimum of a pair of log-normal variables with equal mean. It shows that either order statistic has a smaller coefficient of variation than the two original log-normal variables provided the latter are of equal variance. When the variances are unequal, as the variance ratio increases, the minimum (maximum), has a smaller coefficient of variation if the correlation coefficient of the log-normal variables is small (small) and the variances are large (small). |
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Keywords: | coefficient of variation order statistics bivariate log normal distribution |
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