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
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