Most of natural phenomena are modeled with univariate and multivariate normal distributions and their derivatives. Folded normal variables are defined as the absolute of normal random variables. So far, univariate and bivariate normal distributions, their characteristics and usages have been studied too. Distribution of the maximum of dependent random variables which have elliptically contoured distribution, has been considered by others. In this paper, distribution of the maximum of dependent random variables with bivariate folded standard normal distribution, which their joint distribution is not of the elliptically contoured family, is calculated. Also, the mean, variance and moment generating function of this distribution are investigated.
Lorestani H, Sayyareh A. Distribution of the Maximum of Random Variables with Bivariate Folded Standard Normal Distribution, its Characteristics and Usage. JSS 2016; 9 (2) :241-251 URL: http://jss.irstat.ir/article-1-298-en.html