Copulas for order statistics with prescribed margins

Régis Lebrun and Anne Dutfoy

Journal of Multivariate Analysis, 2014, vol. 128, issue C, 120-133

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.

Keywords: Order statistics; Copula; Maximal sub-square copula (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.jmva.2014.03.006

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