Truncation invariant dependence structures

Engin A. Sungur

    Research output: Contribution to journalArticlepeer-review

    11 Scopus citations

    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 languageEnglish (US)
    Pages (from-to)2553-2568
    Number of pages16
    JournalCommunications in Statistics - Theory and Methods
    Volume28
    Issue number11
    DOIs
    StatePublished - 1999

    Bibliographical note

    Copyright:
    Copyright 2017 Elsevier B.V., All rights reserved.

    Keywords

    • 3-dimensional distributions
    • Copulas
    • Multivariate normal distribution
    • The Cook-Johnson distribution
    • Truncated distributions

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