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, Ziegel, Johanna F. |
Subjects: |
500 Science > 510 Mathematics |
ISSN: |
0047-259X |
Publisher: |
Elsevier |
Language: |
English |
Submitter: |
Johanna Ziegel |
Date Deposited: |
17 Feb 2020 16:21 |
Last Modified: |
05 Dec 2022 15:36 |
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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