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Semi-parametric multivariate modelling when the marginals are the same

✍ Scribed by J.S. Marron; Miguel Nakamura; Vı́ctor Pérez-Abreu

Publisher: Elsevier Science
Year: 2003
Tongue: English
Weight: 550 KB
Volume: 86
Category: Article
ISSN: 0047-259X
DOI: 10.1016/s0047-259x(03)00051-4

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✦ Synopsis

A model is developed for multivariate distributions which have nearly the same marginals, up to shift and scale. This model, based on ''interpolation'' of characteristic functions, gives a new notion of ''correlation''. It allows straightforward nonparametric estimation of the common marginal distribution, which avoids the ''curse of dimensionality'' present when nonparametically estimating the full multivariate distribution. The method is illustrated with environmental monitoring network data, where multivariate modelling with common marginals is often appropriate.

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