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Probability that the Maximum of Many Normal Draws from Multiple Classes is of one Class
Given a set of $N=n_i+n_j+n_k$ draws from distributions $N(\mu_i,\sigma_i^2), N(\mu_j,\sigma_j^2), N(\mu_k,\sigma_k^2)$, what is the probability that the maximum drawn value was from distribution $i,j,...
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Expectation of the maximum of two correlated normal variables
I am curious what the derivation for the expectation of the maximum of two jointly normal random variables $X$ and $Y$ with correlation coefficient $\rho$.
I could start with the following but the ...
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