On order statistics and their copulas

Markus Dietz, Sebastian Fuchs and Klaus D. Schmidt

Statistics & Probability Letters, 2016, vol. 117, issue C, 165-172

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).

Keywords: Copula; Order statistic; Transformations of copulas (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2016.05.020

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