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Moments of Worst-of
Is there an analytical formula for:E[ min(X,Y) ] and Var( min(X,Y) ) ?We probably need a joint distribution here, so, if that helps, we can assume a simple copula model like: U, V~i.i.d. N(0,1)I think I saw that in Rice - Statistics, but I don't have the book at handThanks,David
Last edited by ddxf on April 22nd, 2007, 10:00 pm, edited 1 time in total.