Abstract
In this paper, a special class of m-dimensional distribution functions which can be uniquely determined in terms of their 2-dimensional marginals is studied. The members of the class can be characterized as having truncation invariant dependence structure. The representation given in this paper provides a physical meaning to the multivariate Cook-Johnson distribution, and introduces a systematic way of generating higher dimensional distributions by using rich 2-dimensional distributions provided that the 2-dimensional marginals are compatible. A class of 3-dimensional multivariate normal distribution has been generated and bounds in terms of lower dimensional marginals are provided.
Original language | English (US) |
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Pages (from-to) | 2553-2568 |
Number of pages | 16 |
Journal | Communications in Statistics - Theory and Methods |
Volume | 28 |
Issue number | 11 |
DOIs | |
State | Published - 1999 |
Keywords
- 3-dimensional distributions
- Copulas
- Multivariate normal distribution
- The Cook-Johnson distribution
- Truncated distributions