EconPapers    
Economics at your fingertips  
 

On the multivariate probability integral transformation

Christian Genest and Louis-Paul Rivest

Statistics & Probability Letters, 2001, vol. 53, issue 4, 391-399

Abstract: A general formula is given for computing the distribution function K of the random variable H(X,Y) obtained by taking the bivariate probability integral transformation (BIPIT) of a random pair (X,Y) with distribution function H. Of particular interest is the behavior of the sequence (Kn) corresponding to the BIPIT of pairs (Xn,Yn) of componentwise maxima Xn=max(X1,...,Xn) and Yn=max(Y1, ..., Yn) of random samples (X1,Y1),...,(Xn,Yn) from distribution H. Illustrations are provided and the potential for statistical application is outlined. Multivariate extensions are briefly considered.

Keywords: Copula; Extreme; value; distribution; Kendall's; tau (search for similar items in EconPapers)
Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (19) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(01)00047-5
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:53:y:2001:i:4:p:391-399

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2017-09-29
Handle: RePEc:eee:stapro:v:53:y:2001:i:4:p:391-399