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On the sample ranges from heterogeneous exponential variables

Xu, Maochao; Balakrishnan, N. - In: Journal of Multivariate Analysis 109 (2012) C, pp. 1-9

In this paper, the sample range from a heterogeneous exponential sample is shown to be larger than that from a homogeneous exponential sample in the sense of the star ordering. Then, by using this result, some equivalent characterizations of stochastic comparisons of sample ranges with respect...

Persistent link: https://www.econbiz.de/10011042087

Likelihood ratio order of spacings from two heterogeneous samples

Torrado, Nuria; Lillo, Rosa E. - In: Journal of Multivariate Analysis 114 (2013) C, pp. 338-348

In this article we obtain some new results in the area of stochastic comparisons of simple and normalized spacings from … spacings are ordered in the likelihood ratio ordering. We also show some applications of our results to the multiple …

Persistent link: https://www.econbiz.de/10010594248

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

Transformation-based nonparametric estimation of multivariate densities

Chang, Meng-Shiuh; Wu, Ximing - In: Journal of Multivariate Analysis 135 (2015) C, pp. 71-88

product of the density of the transformed data and marginal densities, which coincides with the copula representation of … can be decomposed into the KLIC of the marginal densities and that of the copula density. We derive the convergence rate … presented. The estimated conditional copula density provides useful insight into the joint movements of the US and UK markets …

Persistent link: https://www.econbiz.de/10011189581

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

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

A new index to measure positive dependence in trivariate distributions

García, Jesús E.; González-López, V.A.; Nelsen, R.B. - In: Journal of Multivariate Analysis 115 (2013) C, pp. 481-495

We introduce a new index to detect dependence in trivariate distributions. The index is based on the maximization of the coefficients of directional dependence over the set of directions. We show how to calculate the index using the three pairwise Spearman’s rho coefficients and the three...

Persistent link: https://www.econbiz.de/10011042037

Comparison, utility, and partition of dependence under absolutely continuous and singular distributions

Ebrahimi, Nader; Jalali, Nima Y.; Soofi, Ehsan S. - In: Journal of Multivariate Analysis 131 (2014) C, pp. 32-50

–Olkin copula and for a new singular copula that represents the dependence of the consecutive terms of the exponential …

Persistent link: https://www.econbiz.de/10011042048

Hierarchical Poisson models for spatial count data

De Oliveira, Victor - In: Journal of Multivariate Analysis 122 (2013) C, pp. 393-408

This work proposes a class of hierarchical models for geostatistical count data that includes the model proposed by Diggle et al. (1998) [13] as a particular case. For this class of models the main second-order properties of the count variables are derived, and three models within this class...

Persistent link: https://www.econbiz.de/10011042051