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An order-statistics-based method for constructing multivariate distributions with fixed marginals

Baker, RD 2008, 'An order-statistics-based method for constructing multivariate distributions with fixed marginals' , Journal of Multivariate Analysis, 99 (10) , pp. 2312-2327.

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    Abstract

    A new system of multivariate distributions with fixed marginal distributions is introduced via the consideration of random variates that are randomly chosen pairs of order statistics of the marginal distributions. The distributions allow arbitrary positive or negative Pearson correlations between pairs of random variates and generalise the Farlie–Gumbel–Morgenstern distribution. It is shown that the copulas of these distributions are special cases of the Bernstein copula. Generation of random numbers from the distributions is described, and formulas for the Kendall and grade (Spearman) correlations are given. Procedures for data fitting are described and illustrated with examples.

    Item Type: Article
    Themes: Subjects outside of the University Themes
    Schools: Colleges and Schools > College of Business & Law > Salford Business School > Management Science and Statistics
    Journal or Publication Title: Journal of Multivariate Analysis
    Publisher: Elsevier
    Refereed: Yes
    ISSN: 0047-259X
    Depositing User: Prof Rose Dawn Baker
    Date Deposited: 24 Nov 2011 11:56
    Last Modified: 27 May 2014 11:50
    URI: http://usir.salford.ac.uk/id/eprint/19017

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