Title of article :
Copulas for order statistics with prescribed margins
Author/Authors :
Lebrun ، نويسنده , , Régis and Dutfoy، نويسنده , , Anne، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2014
Pages :
14
From page :
120
To page :
133
Abstract :
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.
Keywords :
Order statistics , Copula , Maximal sub-square copula
Journal title :
Journal of Multivariate Analysis
Serial Year :
2014
Journal title :
Journal of Multivariate Analysis
Record number :
1566708
Link To Document :
بازگشت