Distribution functions of multivariate copulas

José A. Rodríguez-Lallena and Manuel Úbeda-Flores

Statistics & Probability Letters, 2003, vol. 64, issue 1, 41-50

Abstract: For continuous random vectors X=(X1,X2,...,Xn) and multivariate distribution functions H1 and H2 with common univariate marginals, we study the distribution function of the random variable H1(X) given that the joint distribution function of X is H2. We show that the distribution function of H1(X) depends only on the copulas C1 and C2 associated with H1 and H2, and examine various properties of these distribution functions. We also illustrate some applications including multivariate dependence orderings.

Keywords: Copulas; Dependence; orderings; Distribution; functions; Probability; integral; transform (search for similar items in EconPapers)
Date: 2003
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