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Testing for symmetries in multivariate inverse problems

Birke, Melanie; Bissantz, Nicolai - In: Journal of Multivariate Analysis 109 (2012) C, pp. 236-253

regression functions. The method is motivated by the constraint of symmetry with respect to some unknown hyperplane but can …

Persistent link: https://www.econbiz.de/10010572310

Maximum entropy copula with given diagonal section

Butucea, Cristina; Delmas, Jean-François; Dutfoy, Anne; … - In: Journal of Multivariate Analysis 137 (2015) C, pp. 61-81

We consider copulas with a given diagonal section and compute the explicit density of the unique optimal copula which … maximizes the entropy. In this sense, this copula is the least informative among the copulas with a given diagonal section. We … give an explicit criterion on the diagonal section for the existence of the optimal copula and give a closed formula for …

Persistent link: https://www.econbiz.de/10011263456

Copulas for order statistics with prescribed margins

Lebrun, Régis; Dutfoy, Anne - In: Journal of Multivariate Analysis 128 (2014) C, pp. 120-133

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...

Persistent link: https://www.econbiz.de/10010776641

Multivariate distributions and the moment problem

Kleiber, Christian; Stoyanov, Jordan - In: Journal of Multivariate Analysis 113 (2013) C, pp. 7-18

For any multivariate distribution with finite moments we can ask, as in the univariate case, whether or not the distribution is uniquely determined by its moments. In this paper, we summarize, unify and extend some results that are widely scattered in the mathematical and statistical literature....

Persistent link: https://www.econbiz.de/10010588054

Characterization of multivariate heavy-tailed distribution families via copula

Weng, Chengguo; Zhang, Yi - In: Journal of Multivariate Analysis 106 (2012) C, pp. 178-186

-tailed phenomena. This paper characterizes the MRV distributions through the tail dependence function of the copula associated with … the survival copula is necessary and sufficient for a random vector with regularly varying univariate marginals to have a …

Persistent link: https://www.econbiz.de/10010572304

Sklar’s theorem derived using probabilistic continuation and two consistency results

Faugeras, Olivier P. - In: Journal of Multivariate Analysis 122 (2013) C, pp. 271-277

.i.d. copies distributed according to F: we construct a sequence of copula representers associated with the empirical distribution … function of the sample which convergences a.s. to the representer of the copula function associated with F. Eventually, we are …

Persistent link: https://www.econbiz.de/10010702798

Strength of tail dependence based on conditional tail expectation

Hua, Lei; Joe, Harry - In: Journal of Multivariate Analysis 123 (2014) C, pp. 143-159

bivariate copula families. In general, for nonnegative dependence, there are three levels of strength of dependence in the tails … Gumbel, respectively, and for copula families with different tail behavior. …

Persistent link: https://www.econbiz.de/10010718990

Measuring association and dependence between random vectors

Grothe, Oliver; Schnieders, Julius; Segers, Johan - In: Journal of Multivariate Analysis 123 (2014) C, pp. 96-110

Measures of association are suggested between two random vectors. The measures are copula-based and therefore invariant …

Persistent link: https://www.econbiz.de/10010718994

Functions operating on multivariate distribution and survival functions—With applications to classical mean-values and to copulas

Ressel, Paul - In: Journal of Multivariate Analysis 105 (2012) 1, pp. 55-67

Functions operating on multivariate distribution and survival functions are characterized, based on a theorem of Morillas, for which a new proof is presented. These results are applied to determine those classical mean values on [0,1]n which are distribution functions of probability measures on...

Persistent link: https://www.econbiz.de/10011041987

Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique

Bücher, Axel; Ruppert, Martin - In: Journal of Multivariate Analysis 116 (2013) C, pp. 208-229

Considering multivariate strongly mixing time series, nonparametric tests for a constant copula with specified or …

Persistent link: https://www.econbiz.de/10011042016