Rank statistics for jointly normal random vector

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rhz
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Hi,

Just found this forum. It would be fabulous if someone could point me in the direction of a solution to this problem.

Consider X, a jointly normal random vector of mean m and positive definite covariance C. I am interested in knowing the probability that the index associated with the maximum element of the random vector equals the index associated with the maximum element of the mean of the vector. More generally, it would be nice to know the probability mass function of the index associated with the maximum element of X.

Does anyone know where I could find the solution to this problem?

Thanks!!

rhz.
 

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