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Linkages: A tool for the construction of multivariate distributions with given nonoverlapping multivariate marginals
- Source :
- Journal of Multivariate Analysis, Journal of Multivariate Analysis, Elsevier, 1996, Vol. 56, N°1, pp. 20-41. ⟨10.1006/jmva.1996.0002⟩
- Publication Year :
- 1996
- Publisher :
- HAL CCSD, 1996.
-
Abstract
- International audience; One of the most useful tools for handling multivariate distributions with givenunivariatemarginals is the copula function. Using it, any multivariate distribution function can be represented in a way that emphasizes the separate roles of the marginals and of the dependence structure. The goal of the present paper is to introduce an analogous tool, called the linkage function, that can be used for the study of multivariate distributions with givenmultivariatemarginals by emphasizing the separate roles of the dependence structurebetweenthe given multivariate marginals, and the dependence structurewithineach of the nonoverlapping marginals. Preservation of some setwise positive dependence properties, from the linkage functionLto the joint distributionFand vice versa, are studied. When two different distribution functions are associated with the same linkage function (that is, have the same setwise dependence structure) we show that strong stochastic dominance order among the corresponding multivariate marginal distributions implies an overall stochastic dominance between the two underlying distribution functions.
- Subjects :
- Statistics and Probability
Numerical Analysis
Multivariate statistics
stochastic order
010102 general mathematics
Matrix t-distribution
Multivariate normal distribution
01 natural sciences
setwise positive dependence
Normal-Wishart distribution
Copula (probability theory)
010104 statistics & probability
[SHS.ECO.ECO]Humanities and Social Sciences/Economics and Finance/domain_shs.eco.eco
Econometrics
copula
given marginals
Multivariate t-distribution
Statistical physics
0101 mathematics
Statistics, Probability and Uncertainty
Marginal distribution
standard construction
Mathematics
Multivariate stable distribution
dependence structure
Subjects
Details
- Language :
- English
- ISSN :
- 0047259X and 10957243
- Database :
- OpenAIRE
- Journal :
- Journal of Multivariate Analysis, Journal of Multivariate Analysis, Elsevier, 1996, Vol. 56, N°1, pp. 20-41. ⟨10.1006/jmva.1996.0002⟩
- Accession number :
- edsair.doi.dedup.....3db191cf9bb859b89b62a92ec0f8e633