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## Main Question or Discussion Point

Hi all,

I want to find maximum of two random variables which are correlated and are non gaussian too. Baiscally I need an analytical orr approximate solution to their bivaraite distribution with means and varaince of resulting distribution. There is some work by Clark 'The greatest of finite set of random variables' but that assumes gaussian correlated variables.

so if A & B are two correlated random varaibles. I need C=Max(A,B)?

one other method is to use quadratic taylor polynomial for A & B. and use Max (A,B)=(A+B+abs(A-B))/2. But I dont know can i approximate abs(A-B) by quadratic polynomial (without regression). In other words, if I can get any method to approximate abs(A-B) by analytical expression. This will also give me Max operation (what I really need).

Sorry for long question

I will be very grateful to you if any one could figure out solution or any directions

cheers

Touqeer

I want to find maximum of two random variables which are correlated and are non gaussian too. Baiscally I need an analytical orr approximate solution to their bivaraite distribution with means and varaince of resulting distribution. There is some work by Clark 'The greatest of finite set of random variables' but that assumes gaussian correlated variables.

so if A & B are two correlated random varaibles. I need C=Max(A,B)?

one other method is to use quadratic taylor polynomial for A & B. and use Max (A,B)=(A+B+abs(A-B))/2. But I dont know can i approximate abs(A-B) by quadratic polynomial (without regression). In other words, if I can get any method to approximate abs(A-B) by analytical expression. This will also give me Max operation (what I really need).

Sorry for long question

I will be very grateful to you if any one could figure out solution or any directions

cheers

Touqeer