Estimation of reliability in a bivariate normal distribution with equal coefficients of variation

Ramesh C. Gupta; Sundarraman Subramanian

doi:10.1080/03610919808813503

Estimation of reliability in a bivariate normal distribution with equal coefficients of variation

Ramesh C. Gupta, Sundarraman Subramanian

Research output: Contribution to journal › Article › peer-review

15 Scopus citations

Abstract

In this article, we consider the problem of estimating R = P(X < Y), when X and Y have a bivariate normal distribution with common coefficients of variation. Parameters are estimated using the method of maximum likelihood, and an asymptotic confidence interval for R is derived. An example is provided to illustrate the procedure. Extensive simulation studies are carried out to examine the empirical coverage probability (ECP) and estimated mean length (EML) of the confidence interval for R.

Original language	English (US)
Pages (from-to)	675-698
Number of pages	24
Journal	Communications in Statistics Part B: Simulation and Computation
Volume	27
Issue number	3
DOIs	https://doi.org/10.1080/03610919808813503
State	Published - 1998
Externally published	Yes

All Science Journal Classification (ASJC) codes

Statistics and Probability
Modeling and Simulation

Keywords

Confidence interval
Coverage probability
Estimated mean length
Taylor series

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10.1080/03610919808813503

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AB - In this article, we consider the problem of estimating R = P(X < Y), when X and Y have a bivariate normal distribution with common coefficients of variation. Parameters are estimated using the method of maximum likelihood, and an asymptotic confidence interval for R is derived. An example is provided to illustrate the procedure. Extensive simulation studies are carried out to examine the empirical coverage probability (ECP) and estimated mean length (EML) of the confidence interval for R.

KW - Confidence interval

KW - Coverage probability

KW - Estimated mean length

KW - Taylor series

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ER -

Estimation of reliability in a bivariate normal distribution with equal coefficients of variation

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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