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Distribution functions of multivariate copulas

✍ Scribed by José A. Rodrı́guez-Lallena; Manuel Úbeda-Flores

Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
239 KB
Volume
64
Category
Article
ISSN
0167-7152

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✦ Synopsis

For continuous random vectors X = (X 1 ; X 2 ; : : : ; X n ) and multivariate distribution functions H 1 and H 2 with common univariate marginals, we study the distribution function of the random variable H 1 (X) given that the joint distribution function of X is H 2 . We show that the distribution function of H 1 (X) depends only on the copulas C 1 and C 2 associated with H 1 and H 2 , and examine various properties of these distribution functions. We also illustrate some applications including multivariate dependence orderings.

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