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On order statistics and their copulas

Author

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  • Dietz, Markus
  • Fuchs, Sebastian
  • Schmidt, Klaus D.

Abstract

We study the problem of how to transform a copula for the distribution function of an arbitrary random vector into a copula for the distribution function of its order statistic. We thus extend results of Navarro and Spizzichino (2010).

Suggested Citation

  • Dietz, Markus & Fuchs, Sebastian & Schmidt, Klaus D., 2016. "On order statistics and their copulas," Statistics & Probability Letters, Elsevier, vol. 117(C), pages 165-172.
    • Handle: RePEc:eee:stapro:v:117:y:2016:i:c:p:165-172
    DOI: 10.1016/j.spl.2016.05.020
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    References listed on IDEAS

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    1. 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. Fuchs, Sebastian & Schmidt, Klaus D., 2021. "On order statistics and Kendall’s tau," Statistics & Probability Letters, Elsevier, vol. 169(C).
    2. 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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