An order-statistics-based method for constructing multivariate distributions with fixed marginals

Authors:
Rose Baker
Affiliations:
Centre for Operational Research and Applied Statistics, School of Business, University of Salford, UK
Venue:
Journal of Multivariate Analysis
Year:
2008

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Abstract

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.