PREDICTION IN A TRIVARIATE NORMAL DISTRIBUTION VIA TWO ORDER STATISTICS

In this paper, by considering a trivariate normal distribution, we derive the joint distribution of one variable (X) and two order statistics from the other two variables (Y1; Y2) and then we derive the best prediction of X based on ¡ Y(1); Y(2) ¢T as well as the prediction of Y(1) based on ¡ X; Y(2) ¢T .