On the Exact Evaluation of the Variances and Covariances of Order Statistics in Samples from the Extreme-Value Distribution

Abstract

This paper develops explicit closed formulas for the covariances of order statistics in samples from the extreme-value distribution which involve only tabulated functions. Such results do not appear to have been given previously. They have been used in an investigation of the estimation of extreme-value parameters by means of order statistics which will be presented in a fuller report to be submitted to the National Advisory Committee for Aeronautics.