An order-statistics-based method for constructing multivariate distributions with fixed marginals
An order-statistics-based method for constructing multivariate distributions with fixed marginals
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DOI：
10.1016/j.jmva.2008.02.019
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发表时间：
2008-11
影响因子：
1.6
通讯作者：
R. Baker
中科院分区：
文献类型：
--
作者：
R. Baker
通过考虑随机变量是随机选择的边际分布的顺序统计量对，引入了一个新的具有固定边际分布的多元分布系统。该分布允许随机变量对之间的任意正或负皮尔逊相关，并概括了Farlie-Gumbel-Morgenstern分布。证明了这些分布的Copula是伯恩斯坦Copula的特例。从分布的随机数的产生进行了描述，并给出了肯德尔和等级（斯皮尔曼）相关公式。数据拟合的程序进行了描述和举例说明。
A new system of multivariate distributions with fixed marginal distributions is introduced via the consideration of random variates that are randomly chosen pairs of order statistics of the marginal distributions. The distributions allow arbitrary positive or negative Pearson correlations between pairs of random variates and generalise the Farlie–Gumbel–Morgenstern distribution. It is shown that the copulas of these distributions are special cases of the Bernstein copula. Generation of random numbers from the distributions is described, and formulas for the Kendall and grade (Spearman) correlations are given. Procedures for data fitting are described and illustrated with examples.