Bivariate distributions characterized by one family of conditionals and conditional percentile or mode functions

Barry C. Arnold, Enrique Castillo and José María Sarabia ()

Journal of Multivariate Analysis, 2008, vol. 99, issue 7, 1383-1392

Abstract: It is well known that full knowledge of all conditional distributions will typically serve to completely characterize a bivariate distribution. Partial knowledge will often suffice. For example, knowledge of the conditional distribution of X given Y and the conditional mean of Y given X is often adequate to determine the joint distribution of X and Y. In this paper, we investigate the extent to which a conditional percentile function or a conditional mode function (of Y given X), together with knowledge of the conditional distribution of X given Y will determine the joint distribution. Finally, using this methodology a new characterization of the classical bivariate normal distribution is given.

Keywords: 62H05; 60E05; Conditional; specification; Farley-Gumbel-Morgenstern; distribution; Gumbel's; bivariate; logistic; distribution; Normal; characterization; Cauchy; conditionals (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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