Copulas for order statistics with prescribed margins

Autor:	Régis Lebrun, Anne Dutfoy
Rok vydání:	2014
Předmět:	Statistics and Probability Discrete mathematics Numerical Analysis Joint probability distribution Copula (linguistics) Order statistic Univariate Applied mathematics Uniqueness Bivariate analysis Statistics Probability and Uncertainty Mathematics
Zdroj:	Journal of Multivariate Analysis. 128:120-133
ISSN:	0047-259X
DOI:	10.1016/j.jmva.2014.03.006
Popis:	The joint distribution of order statistics is characterized without reference to a parent distribution. To this end, the possible univariate margins of such a distribution are first determined. The class of possible copulas K is then characterized under the assumption of continuous margins through a description of their minimal support. A truncation-based construction of copulas is also proposed. In the bivariate case, conditions are given for the existence and uniqueness of copulas in this class having maximal support set. Algorithms and examples also show the effectiveness of this construction.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::10c477083e38c58a39448259fea22f02 https://doi.org/10.1016/j.jmva.2014.03.006 Zobrazit plný text záznamu Full Text from ScienceDirect