Bivariate distributions with ordered marginals

Arnold, Sebastian; Molchanov, Ilya; Ziegel, Johanna F. (2020). Bivariate distributions with ordered marginals. Journal of multivariate analysis, 177, p. 104585. Elsevier 10.1016/j.jmva.2019.104585

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This paper provides a characterization of all possible dependency structures between two stochastically ordered ran-dom variables. The answer is given in terms of copulas that are compatible with the stochastic order and the marginaldistributions. The extremal values for Kendall’s τ and Spearman’s ρ for all these copulas are given in closed form.We also find an explicit form for the joint distribution with the maximal entropy. A multivariate extension and ageneralization to random elements in partially ordered spaces are also provided

Item Type:

Journal Article (Original Article)

Division/Institute:

08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science

UniBE Contributor:

Arnold, Sebastian; Molchanov, Ilya and Ziegel, Johanna F.

Subjects:

500 Science > 510 Mathematics

ISSN:

0047-259X

Publisher:

Elsevier

Language:

English

Submitter:

Johanna Fasciati-Ziegel

Date Deposited:

17 Feb 2020 16:21

Last Modified:

23 Feb 2020 02:49

Publisher DOI:

10.1016/j.jmva.2019.104585

BORIS DOI:

10.7892/boris.140199

URI:

https://boris.unibe.ch/id/eprint/140199

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