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Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters
Open accessAbstract
A class of ra-variate distributions with given margins and m(m -l)/2 dependence parameters, which is based on iteratively mixing conditional distributions, is derived.The family of multivariate normal distributions is a special case.The motivation for the class is to get parametric families that have m(m -l)/2 dependence parameters and properties that the family of multivariate normal distributions does not have.Properties of the class are studied, with details for (i) conditions for bivariate tail dependence and non-trivial limiting multivariate extreme value distributions and (ii) range of dependence for a bivariate measure of association such as Kendall's tau.Because tail dependence properties are one reason for studying nonmultivariate normal families, conditions for bivariate tail dependence are stud- AMS 1991
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Cited by
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Bedford, T., & Cooke, R. M. (2001) · Annals of Mathematics and Artificial Intelligence · doi:10.1023/a:1016725902970 · Cited by 937
Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine
Brechmann, E. C., & Schepsmeier, U. (2013) · Journal of Statistical Software · doi:10.18637/jss.v052.i03 · Cited by 498
Bevacqua, E., Maraun, D., Hobæk Haff, I., Widmann, M., & Vrac, M. (2017) · Hydrology and Earth System Sciences · doi:10.5194/hess-21-2701-2017 · Cited by 373
Pair copula constructions for multivariate discrete data
Panagiotelis, A., Czado, C., & Joe, H. (2012) · Journal of the American Statistical Association · doi:10.1080/01621459.2012.682850 · Cited by 194
Self-citationDerivatives and Fisher information of bivariate copulas
Schepsmeier, U., & Stöber, J. (2014) · Statistical Papers · doi:10.1007/s00362-013-0498-x · Cited by 66
Metadata
- Authors
- Joe, H.
- Venue
- Institute of Mathematical Statistics Lecture Notes - Monograph Series
- Publisher
- Institute of Mathematical Statistics
- Published
- 1996
- Pages
- 120-141
- ISSN
- 0749-2170 (ISSN-L)
- OpenAlex
- W1529468743
- Cited by
- 778
- References
- 0
- FWCI
- 1.52
- Type
- book chapter
- Language
- en
- Open access
- bronze
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- Joe, H. (1996). Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters. Institute of Mathematical Statistics Lecture Notes - Monograph Series. https://doi.org/10.1214/lnms/1215452614
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