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Copulas for order statistics with prescribed margins

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  • Lebrun, Régis
  • Dutfoy, Anne

Abstract

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 through a description of their minimal support. A truncation-based construction of copulas is also proposed. In the bivariate case, conditions are given for the existence and uniqueness of copulas in this class having maximal support set. Algorithms and examples also show the effectiveness of this construction.

Suggested Citation

  • Lebrun, Régis & Dutfoy, Anne, 2014. "Copulas for order statistics with prescribed margins," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 120-133.
    • Handle: RePEc:eee:jmvana:v:128:y:2014:i:c:p:120-133
    DOI: 10.1016/j.jmva.2014.03.006
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    References listed on IDEAS

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    1. Rychlik, Tomasz, 1994. "Distributions and expectations of order statistics for possibly dependent random variables," Journal of Multivariate Analysis, Elsevier, vol. 48(1), pages 31-42, January.
    2. Avérous, Jean & Genest, Christian & C. Kochar, Subhash, 2005. "On the dependence structure of order statistics," Journal of Multivariate Analysis, Elsevier, vol. 94(1), pages 159-171, May.
    3. Navarro, Jorge & Spizzichino, Fabio, 2010. "On the relationships between copulas of order statistics and marginal distributions," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 473-479, March.
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    Cited by:

    1. Arnold, Sebastian & Molchanov, Ilya & Ziegel, Johanna F., 2020. "Bivariate distributions with ordered marginals," Journal of Multivariate Analysis, Elsevier, vol. 177(C).

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