Probability distributions with given multivariate marginals and given dependence structure
This paper provides a method of constructing multivariate distributions where both univariate marginals and a correlation matrix are given. An extension to multivariate marginals and a given intercorrelation matrix is also obtained. This method yields a family of distributions which are totally linear regressive and may be useful to generate exact samples for testing statistical models, to study structural models where the covariance structure is given, and to justify a statistical distance with mixed variables.
Year of publication: |
1992
|
---|---|
Authors: | Cuadras, C. M. |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 42.1992, 1, p. 51-66
|
Publisher: |
Elsevier |
Keywords: | Frechet classes copulas linearizable regression testing statistical models statistical distances mixture of distributions |
Saved in:
Saved in favorites
Similar items by person
-
On the Covariance between Functions
Cuadras, C. M., (2002)
-
A Continuous Metric Scaling Solution for a Random Variable
Cuadras, C. M., (1995)
-
Probability densities from distances and discrimination
Cuadras, C. M., (1997)
- More ...