Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145553 | Journal of Multivariate Analysis | 2014 | 14 Pages |
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 KK 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
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Régis Lebrun, Anne Dutfoy,